I can't remember anyone getting really fed up. Of course I do remember displeasure with outcomes like death, but sometimes they just got themselves killed even though I was fairly generous with the warnings. You know, like low level characters exploring the dragon's den.
Generally speaking, I like to let the players control a lot of what goes on. Sometimes they do the opposite of what I want them to, but either I try to gently steer them back on the path, just make up something else on the spot or I ditch that idea and try to hook them on another I have ready. I've been writing a little bit today for an upcoming game this easter and, while they're not all fleshed out, I have 19 ideas so far for stories that they could somehow stumble upon. If they fail to get caught up in one story, they may get caught up in another. And as for how each of my hooks ultimately end, the conclusion of each of the stories these ideas may lead to, I'm happy to let the players influence them completely.
edit :
I remember some of my friends used to play under a different GM back in the days, the clichè pretentious GM that gives other roleplayers a bad name. He appearantly had a story which was so good he wouldn't even let his friends play it because he knew they'd just **** it up
I have little respect for that sort of stuff, then and now.