Hotline Miami, Super Hexagon, Super Meat Boy, etc... It's almost easier to make a game exciting without lose states.
Tension can come from the simple fact that death means that you didn't win. It's not a lose state, but it still generates tension, and it comes without forcing the player to go back more than 30 seconds, which lets you make the game harder without making it tedious. Depending on the person, these games can actually be more exciting than ones with significant lose states.
I wouldn't classify Super Meat Boy or any of those games as exciting/tense though, or at least not the kind of excitement or tension I'm talking about.
Maybe they have "thrill" or "hype" or maybe there's a sense of a rush to it, or a strong intensity, with that kind of short but intense gameplay, but I've never experienced the true
tension (to the point of hands shaking, sweating, and thinking in my head "ohmygodohmygodohmygod", and most of all
actually playing differently than you usually do) in anything that had less than 10 minutes of restart time or so (fighters are an exception though).
I'm very much not into that "bite sized" challenge type gameplay. I respect it, believe me, and I understand why many people enjoy it, but it's not for me. I personally feel that there's
less differences in kind and that as a result multiple attempts tend to blend together into a more mindless repetitive exercise, the lack of true penalty also makes me not care about my actions as much ("oh? I did the wrong thing there? eh I"ll just hit restart, who cares" as opposed to "FUCK, that waste of resources is going haunt me for the rest of this struggle, I'm gonna have to have seriously plan around that and make up for it"), and like I said I've never experienced the same sense of tension in those types of games.
I've even gone back and played some of those types of games with an altered play style (no checkpoints in They Bleed Pixels, no death the stages from start to finish. Low death run Rogue Legacy. No damage running certain games, etc.) and it's definitely a completely different experience. It's like night and day. Not saying it's a better experience, and certainly not for everyone, but there's definitely an emotion present there that's not there otherwise.