So I just started a new game on Master difficulty, and it is so much more fun. I have to be on my toes a bit more otherwise I will take huge damage and die easily. I have decided once my character dies, he is dead. Anyways, playing on lower level difficulties, after level 15 or so it became way to easy, not that I mind, I still love the game and all. So I think my point is, on master difficulty, does it stay challenging even at higher levels?

No.

Im on a second character now, on master, level 23, and i have to admit.. its easier than it was at the start, slightly less challenging, but i wouldnt worry about because i have still had to reload PLENTY of times... but playing dead is dead on Master? That is just insane.. youll die within the first few levels i assure you, i have reloaded countless times on master, no matter how fun it is.

Cool, I will keep that in mind. I will just run from everything lol

According to the "offical" DiD rules, you MUST play on master.