Everybody who's ever played a video game knows the fundamental rule: They can't chase you up a ladder. They can't chase you out of the dungeon and onto the overworld. You walk out the door and make the game do some loading stuff, and you're safe.
That's the rule.
I've only seen that rule broken once. Way back in the original Castle Wolfenstien for the Apple II (not the 3d version, but the original), where a guard would chase you from room to room. And you'd jump every time because you thought you were safe.
So I'm breaking that rule. They chase you anywhere. You can drag a Death Wizard up 8 levels of dungeon, onto the overworld, and all the way home to your base where he'll camp outside and murder your chickens until you go out and deal with him.
I really dig the effect.