When I go into Moga Woods to hunt monsters, there are no quest rewards to take away when I die. Does that mean there's no penalty, or is there something else (resources? money?) that I lose?
Hunting in Moga Woods gives you HR points which allow to increase your hunter rank in Tanzia.
This feature is available after Hunter Rank 8. (When you reach 8 depending on how much Moga and Yanzia grinding you've done your HR may increase right after talking to the Guild Master).
This amount of HR will decrease the with each time you die. Also eventually you have the problem of running out of regen items (mega potions etc.) Further more (an I need to double check this) the commodities you gain after the hunt in moga woods are less valuable if you die a lot.
If you find youslef dying a lot I recommend the following regen set up;
Potions x10 (Max)
Mega Potions x10 (Max)
Mega Nutrients x5 (Max)
Max Potion x2 (Max)
Ancient Potion x1 (Max)
Honey x10 (Max)
Herb x10 (Max)
Blue Mushroom x10 (Max)
Book Of Combo's 1 x1
Book Of Combo's 2 x1
The plan here is simple, when you run out of Mega Potions (MP's), Combine the honey and Potions to make more. The Herbs and Blue Mushrooms combine to make more Potions as a back up and if Honey can be gathered in the quest then MORE MP's. The combo books ensure 100% success rate with those combinations. The Mega Nutrients mean that if you die you can raise your health cap up again.
The Max Potions restore and maximise health gauge and are made from Mega Nutrients and Dragon Toadstools and the Ancient Potion is the same but also maximises stamina - these are a last resort but can be life savers (literally).
The ancient Potion is made from Immunizer and Kelbi Horns - all of these recipes exist on the front page of you combo list.
Additionally your food bonuses will be gone so no food skills an did you gain helath or stamina from your meal that will be gone too.
Stamina is gained from using fresh ingredients and health from using ingredients with the little stars beside them - better ingredients are unlocked by doing quests with [Canteen] in front of them - there are some in both Tanzia and Moga.
Good Luck Happy Hunting! :-)