In my opinion, it would depend on the causes of the deaths, and the possibility to overcome such causes, after all, you would not want to be trapped in an eternal loop of being burned alive in a locked room to which you have no way of escaping.
That aside, there are other variables, like, if a loved one dies, would you kill yourself and try to stop that from happening? What if, no matter how many times you tried, you failed? That would lead to a hard depression and feeling of uselessness.
The pain caused by the process of death is of great impact as well, you could develop some kind of phobia to a particularly painful type of death.
But in a long period of time, I believe the character would become like a vampire is often portrayed, he would realize that pain is temporary, and if he's careful enough, he could live the life he wanted, do whatever he wanted and be successful in anything by simply redoing it everytime and fixing the mistakes of his past. He would become numb after taking all he wanted.