Thanks RamsHead.
Looks like I'm gonna be happy I found the City of the Damned!
I tried out the Forgotten City and in a single turn my guy was:
- Attacked by a Lesser Horror
- Entered the Forgotten City, got shot and killed by a huge ballista bolt, then:
- Got attacked by the Abomination of Desolation. Leave me alone, doom horror! I'm already dead!

(I think he may actually have survived the bolt, but it looks funny like he was killed twice.)
The City of the Damned is a walk in the park in comparison.
Among the many wonderful items you can find in the City of the Damned, you can find the mysterious and powerful ... Slave Collar. Nooooo .... don't wear it!!! Bah.
Immortals do return from being killed in the City. And Disintegrate works pretty well on the Maker of Ruins

.