Steve Buscemi was interviewed about that, you know. Nucky Thompson is loosely based on the real-life king of the Boardwalk, Enoch 'Nucky' Johnson, and apparently the producers of Boardwalk hired Buscemi with the promise that he'd play Nucky. Buscemi thought 'great, that means I die peacefully in 1968', but then was told that who would actually be playing was Nucky
Thompson, a fictional character based on Enoch Johnson and not a real-life portrayal of the man. When he went to the writers and asked why they changed the name, they apparently answered that they wanted to have the latitude to kill him off if necessary to keep the show's drama going, and that his death was an option they were seriously considering at some point down the line.
I'm not too concerned if they kill him off: the supporting cast are phenomenal, with the likes of Shea Wigham, Stephen Graham, Vincent Piazza and Michael K.Williams providing plenty of great actors on the cast to elevate to a more prominent role if need be. That is one of the main reasons it's one of my favorite TV shows of all time, to be honest: the acting talent on the show. Steve Buscemi definitely adds to that. But I wouldn't be so comfortable in Nucky's seeming 'lead-role' invincibility, if the writers' early intentions are anything to go by.