Game Over
A Game Over is a term in nearly every Mario Game, given to the player when they run out of lives. Usually, they cannot continue and must restart the game, but can still often load their progress. In few cases, they cannot load any progress at all and a Game Over can be more of a big deal than in other games.
The game over screen differs from game to game, but the text is usually against a black screen and playing background music that seems to be mocking the player.
In Super Mario Bros.: The Lost Levels, if the player dies in World 9, the Game Over screen looks different.
Apparently, a Game Over in the Mario series is the equivalent of death, as evidenced in Super Paper Mario, when Dimentio sends Mario and his teammates to "the next world", which is like either going to Heaven or Hell. Mario, Luigi, and Bowser end up in The Underwhere which is a little like Hell, where some Shaydes ask Mario how his "game", referring to his life, was. Also, many Shaydes can be seen discussing how they got a Game Over. The Overthere, where Princess Peach went, is like the Heaven surrounded in clouds, sun, and rainbows.
That said, all the conversations in the The Underwhere seem to suggest that Shaydes can request an audience with Queen Jaydes who will weigh in their sins and send them to The Overthere, submit them to punishments befitting of their crimes or even return them to the land of the playing if the situation calls it.
In Super Mario Sunshine and Super Mario Galaxy, the "Too Bad!" changes into a red Game Over sign. In the latter one, the color of is purple. Both include a brief disappointing song.