I think that some of the suggestions in here are reasonable. But not when it comes to influences that dramatically can change or even end a players life. Forcing a player for example to permanently kill his/her character because (s)he stayed too long in DR would be something like that. I have nothing against drainage of some stats over time, the longer one is in DR. But everything should be done in way so that players can get back to where they were before. At least when it comes to stats.
What *could* change, I think, could be certain visible properties for example. As an example: If one stays for weeks and weeks in DR, it is likely that his mind becomes more sinister. Maybe there could be a faction that represents this. But it should take a long time and the consequences should be made very clear to everyone. There *may* be even a way to permadie. Think about a special area in the DR that is somehow marked, maybe in an ic way, like with a post, saying: "Greetings wanderer, if you enter this area and will stay there for a week you will vanish into oblivion". It might sound strange, but if people *really* want to permadie, this could be a roleplay way for them to doing so. It could allow others for example to get in and talk to the person if the timescale would be, say a week of realtime until somebody vanishes.
Other than that, I like the idea mentioned above to bring a little more randomness in the possibilities how to exit DR. Like gates that change the exact spawnpoint, and more than one exit. Monsters that are positioned on deeper levels that are *really* dangerous and mighty.
Or what about a maze of some kind? It could be something of a threat *and* a chance for rewards. Some things could be hidden in there randomly while also great threats could be in there. Like a kind of "repositioning fields" that when entered, position players randomly in the DR. That could even be valid for the exit-points. Who says that they should *always* lead to the land of the living? It could be done in a way that somebody hears a strange voice, saying something like "Bad luck you fool" and then the player, instead of getting to the land of the living is placed back somewhere into DR and he/she has to try again.
And, another thing about randomness, if there were more than one exit: They could be temporarily be "shut off" in some ways, meaning that not all exits are working all the time on a random basis.