I'm about 2 weeks into Demon's Souls now, and absolutely love it. I want to add that I haven't felt the need to farm souls or anything yet, but get more than enough of what I need just figuring out the stages. So if the idea of having to farm dissuades you (it did me) don't worry about it. Although, I'm not using any walkthroughs or hints, so probably spend a lot more time in each area than someone who is.
My biggest soul loss in one death was 17000, just moving back up to cash in before I fought the next boss I was killed by a trap. After that I bought Evacuate as soon as I had over 20k again, so it'll never happen again. The game teaches you to play better, and I love it for not hand holding the whole way through. Another tip it took me a while to figure out, is to always keep your equipment below 50% of your total, if you rely on quick dodging and rolling. My character is melee based, with little armor. I don't get hit much, and hit very hard, but if I do get smacked it hurts! I had let my burden get too high and was having so much trouble staying alive. Dropped some weight and it was night and day.