What game are you talking about?
Spelunky. Just came out today. 2D platformer with Rogue qualities. Basically, the goal is to get as far as you can in the face of increasing difficulty, and collecting/spending money on shit to help you. You die, you start over from scratch, no money, no items. In this games case you can at least unlock some shortcuts to the later levels, but it takes at least 3 completions of the previous group of levels and certain qualifications.