On Death
You talk a fair amount about character creation being important to you, you create detailed back stories and you take time to shape each character. It seems natural to me, then, that you should also try to make sure that character deaths are important, impactful, and meaningful.
This might require talking to GMs, and adjusting the Social Contract at your tables, but it's a small change and I suspect most tables would be receptive to it. It also might require that you shift you perception a little bit, but again I don't think its a reasonable small shift to make.
Death should be avoided, but sacrifices are respected
What I mean by this is that whenever a character takes a dive, it should be a moment that is remembered and respected. In the scenario against the guy who always seems to crit, view him not as lucky, but rather as incredibly mighty. This foe has managed to cut to prices characters who have slain trolls, defeated liches, or saved villages from rampaging orcs. When he was finally defeated, at great cost, the weary remains of the party dragged themselves back to town where perhaps a shrine was raised to honor the loss.
This kind of respect and memory can be augmented by a gm giving dying characters a little extra liberty in their deaths. Once the table knows that a character is dying. I like to let the character act out a slightly elongated fight scene that ends in their demise. This might mean that a barbarian takes a sword through the chest, but pulls it out and throws a punch (mechanically no effect) that sends the baddy reeling before he collapses to his knees.
Another way, that doesn't require a change by anyone else at the table, is to view death as not an ending, but a new adventure. The loss of a character gives you a chance to view the rest of the campaign through a new lens, and to fill in gaps that may have only become evident once you're some ways into a campaign. In my personal view, I find that making new characters can be really enjoyable, especially in regards to being able to mix up a party dynamic that has gotten a little too comfortable.
On Failure
Something that may help in regards to non-death failures would be to consider that weaknesses are quite possibly the most interesting part of any character. It gets boring to watch a character always succeed at things. We even have a name for such a character: the Mary Sue. How, then, do we get used to the fact that our characters aren't always capable of everything they want to do? A tactic I like to use is to take gambles where it's more-likely-than-not that I'll fail. This serves two purposes: it gives my characters a depth that failure can cultivate, and it helps me get used to the idea of my characters failing. That way, when I engage in an action that I actually expect to succeed at, and I fail, I can adopt the mentality I've become accustomed to before, and continue on without bad feelings.
Some systems actually encourage this kind of risk taking, and might be worth looking into. One I personally have experience in is Anima: Beyond Fantasy, which rewards you with XP at the end of sessions where you succeeded on skill checks you were likely to fail (therefore encouraging you to take risks to earn that bonus XP).
Mechanically, I would say the main difference is that advantage is easier and provides more stable results (As your result chances go from evenly distributed, to a favorably skewed curve). 5e favors using advantage/disadvantage as a quick, simple, effective way to deal with temporary bonuses.
Narratively, advantage is a temporary bonus to one action, while a change in DC is a change in the difficulty of the task being attempted.
Giving Advantage means the task is harder for Violet to fail
This means, narratively, that thanks to Violet's special effects, the guard will be more likely to be intimidated by the next thing that comes out of Violet's mouth. The bonus is only for Violet's next action (or until the effect that gives Violet advantage no longer applies to the situation).
Changing the DC means the task has changed
This would mean the guard has lost their composure, and they will think everything is more intimidating/scary. In this case, the bonus applies to Violet and to anyone else attempting the same task.
As another example, building a partial bridge over a gap doesn't make jumping over easier; the jump you have to do to get across is now an easier task for everybody.
Best Answer
The basic math does not change, no. 1d20+5-2 >= 15 is the same as 1d20+5 >= 15+2, and 3d6+5-2 >= 15 and 3d6+5 >= 15+2 are equal as well, in case you're wondering about those pesky curves.
However, there are five basic ways the outcome can still be different in certain cases.