Regarding dying: From a psychological perspective, I'd imagine that dying and reviving would feel like waking up from a bad dream to our characters. At first their minds are still hazy, sorting through the thoughts and memories that last ran through their heads moments before their death, and slowly realizing that the memories are real, and not a dream. If our characters are still vulnerable to Hollowing, then perhaps the player could RP the character with slightly dwindling humanity with each death.

From a visual perspective, I think it may be open to interpretation for each player.  Keep in mind how time is warped in Lordran, so a reviving character could just "pop" into existence near the bonfire. Imagine it like a cutscene centered on a bonfire with nobody nearby, the POV shifts to one side smoothly, then smoothly back towards the bonfire, now your character is standing/kneeling/crouching beside the bonfire, as if they were there the whole time.

As to where we go, I also vote for the Hellkite Dragon. It would be a great first boss fight to test out our characters. Also, there would be a Sunlight Altar nearby that area, which I'm sure Saira would appreciate.