How important is a check?

        How important are checks, situationally speaking of course? I have encountered that locked door before, where we fail to pick the lock, fail to break it down, so we try picking it again. It's just a series of rolls till success, so ultimately the check seems moot.
        Then you put zombies behind the PC trying to pick the lock and the situation becomes far more dangerous but we can still fail and feel like "Whyyyy do I have this skill?".
         DieX has a tiered, success at what cost, sort of mechanic working so far. It's something I like to use in my homebrewed games when I want a check to ratchet up tension in a scenario. Of course, success is relative. If you fail miserably you may make it through the door, bitten, and the door wide open . . . success? lol
         What do you do to keep checks relevant?