Thanks for the enjoyable (but sadly far too short) story of Aldor the Rogue. Getting dropped multiple levels like that is usually lethal, and then running into an out-of-depth Lagduf was just worse luck piled on bad luck.
Like you I discovered Angband when I was in college, after a couple years of playing Moria (from which Angband was derived). I rarely play Ironman style, preferring to be able to return to town perodically for supplies. But the constant threat of permadeath is key to the game. So many characters dead at the hands of various orc uniques, or Boldor, or the various ring wraiths...fewer but still some who die to later bosses...and a couple who have gone all the way to the bottom and beaten Morgoth. Angband can be a lot of fun -- game play triumphs over fancy graphics.
I am not a big fan of rogues, and usually play warriors. Ironman style changes a lot of factors, though -- warriors benefit a lot from access to town for supplies and minor magical support such as scrolls and potions. Their lack of magic for light, food, identify, etc., makes them a poor choice for Ironman style. For regular games they are a lot of fun, though, with enough toughness and early combat ability to cruise through the early dungeon and get into the more interesting stuff quickly. They do struggle later, but a good collection of magic rods makes a huge difference. Of course, warriors can have trouble using higher level magic items...being a dunadan (see chapter I of the second book in the Fellowship, where Frodo meets Bilbo again in Riverdell, for an explanation of what a dunadan is
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) or high elf helps a lot there. And as you noted with your rogue, the XP penalty is essentially meaningless as you will level pretty fast anyway.
Now I am getting the urge to play some Angband again. Might have to roll a character and go break some skulls. Hmmm, maybe a dwarf priest? Or even a half-troll priest? Those are tremendous fun, deeply stupid but also stupidly tough.