Well special characters could always be "seriously wounded" and make a miraculous comeback during the next game. It doesn't even need to be special character, it could be a commander that you're attached to.
There's a guy at my gaming store who had his Chaplain shot in the head by a plasma pistol and somehow survived. I'm guessing the pistol failed to wound, and the Chaplain just passed out from shock.
Anywho, naming your commanders and sepcial fellows not only help out in fluff, but also let's you feel more attached to your men (i mean, erm, making more careful decisions with them unless absolutely necessary)