I will say Regular mode is regular mode, you can die as much as you want - me and Volron basically sprinted to beat Diablo last night and did, now we entered Nightmare mode. Both level 32 Demon Hunters.
Nightmare mode is after you beat the game on regular mode - you lose the training wheels, if you die - you die - you lose everything in nightmare mode. So far despite the problems Blizzard had Diablo 3 is 6 stars out of 5.
Started a Witch Doctor for my 2nd toon, so far I like the change from the Demon Hunter, which by the way was an awesome class to start from.
the Demon hunter is great for stand off attacks, higher levels it can do some serious damage, was just passing 700 dps at Diablo, makes me wish I stuck around to gather some more gold/items in training wheel mode.