Q:

At what point did The Lich King spare the player's life?

When on the quest "A Feast of Souls", the Lich King whispers various things to the player. Most of it taunts the player with the fact that he/she is powering their weapon exactly as Arthas did to become The Lich King, but one of the whispers says:

Never have I had cause to regret sparing your life, mortal. Always,
  you find ways to amuse me.

At what point prior to this was the player spared by The Lich King? Is he possibly referring to the events at The Wrathgate?

A:

There are multiple points where you encounter the Lich King and he allows you to escape.

His projection is standing in front of Utgarde Keep in Howling Fjord if you are in the spirit realm, and while he will "kill" you here, this just knocks you out of your spiritwalk.
His projection in the Utgarde Pinnacle dungeon also just sicks his new val'kyr on you, rather than killing you outright, although this may be testing his creation.
In Zul'Drak he personally responds to the failure of Drakuru by showing up to kill him, but lets you leave.
In the chapel in Icecrown Citadel, on the questline involving the Frozen Heart, he also doesn't kill right away (although your escape he may not have controlled).
In the Halls of Reflection dungeon, if he can make ice walls in front of your escape route, he can certainly freeze you - he's just toying with you at this point.

The Battle of the Wrathgate may also count, but given the ambush of New Plague on all parties present, doesn't seem likely, and your player was not front and center in those events.

A:

I don't think you fight in Wrathgate, after all, Bolvar/Saurfang tell you to observer and report to Varian/Thrall about the events. 
There are several instances throughout Northrend where you are spared by the Lich King.  One being in Zul'Drak, where you face off with Drakuru, and the Lich King shows up and spares you because you amuse him.

