Permadeath

Infernium and the Permadeath
In Infernium every time you die a glowing sphere in the purgatory will lose it's energy. In other words, every time you die you lose an opportunity. If all the 25 spheres in the Purgatory lose their light, you will enter the permadeath state. In this state, the big door at the end of the Purgatory will open and the fountain with the black smoke will be empty, meaning you won't have a way to go back to the game's challenges. If you want to "finish" the game you can enter the door and go down the stairs towards the Black Fountain in the Fountains level.

However, there are ways to go out of permadeath if you want to continue playing.

What to do if you run out of Glowing Spheres in the Purgatory
There are two main ways to get out of permadeath: You can go to the lower part of the Purgatory and reach the Ice Lands and there use the Light Pit to fill one of the Spheres in the Purgatory back to earn another chance. On the other hand, if you have progressed in the game enough, you can use the long dash, the flashlight and four harvesting fingers to escape from the Purgatory to reach The Descent

The Ice Land Path
You can reach the Ice lands any time in your adventure, even if you are not in permadeath state. To reach the Ice Lands, get close to the big double door and search for the stairway at your right before entering the door. Take that stairway down and then again when you reach the spiral stairway continue down. Don't worry about the Light Foe there and continue going down. You will reach a circular room. Go through the black floating dots. Now things get tricky. If you went to the back floating dots the correct way now you will see the same environment but slightly foggier and with some ice patches near you. Go up again and this time you will reach the Ice Lands. If you want to go back to the Purgatory, go down again and go through the back floating dots from the other side. If the ice patches disappear, you know you have done it the right way. Go up again and that's it.

Once you reach the Ice Lands, you can fill the Light Pit there to gain an opportunity. If you don't have enough light to fill the light pit (you will need a full harvesting finger to do so at least) don't worry, there is infinite Light in the Ice Lands. Look at the Ice Lands wiki page to know how to get it.

The Descent path
If you have already gone through some parts of Infernium or gotten certain skills, it is possible to exit Purgatory and go into The Descent. This is a really good strategy because you get to the part of the Descent near The Sun. If you are low on opportunities it is a good idea to go to The Sun. It is a level filled with infinite light perfect to refill ALL your opportunities.

Once you spawn in the Purgatory, turn around and go using the flashlight to investigate the area until you find a broken column you can stand on. Using the long Dash go there and then use the flashlight again to light up what's in front of you until you find an entrance in the wall. Dash there and go up the stairs. You will need four full harvesting fingers to open one of the two light barriers at your right and left. Open one of them and proceed up. Fall Into the hole and dash into the frames. One of the frames will let you into a hallway. Continue on and you will reach The Descent.

Implications of the permadeath in the Lore
It can seem a little strange to get to the credits once you die 25 times, but if we take a look at the Lore of Infernium, it is heavily implied that the player is a wanderer that killed 25 people in life and went to Infernium to suffer and make atonement. That's why the player needs to die 25 times before melting into nothing in the Back Fountain.