My party has seen two deaths so far. Both of them resulted from characters being dropped to the negative-bloodied threshold; nobody has yet perished as a result of failed death saves, though we have had some exceedingly close calls - most notably in the session before last, when the eladrin warlord fey stepped to the far side of an animate spiderweb and then got trapped in said spiderweb, in a position where no other character could get to him to save him. He rolled a natural 20 on one of his death saves and was able to second wind; had that not happened, he would have been toast.
The first actual death happened in the very first session, when the fighter, Elgin, was eaten by rats. This was my first time DMing 4E, and I had not yet learned just how freakin' lethal swarms can be, especially against a party without a controller. Elgin was later brought back with the help of a limited-use resurrection artifact I put in.
The second death happened a couple sessions ago. The wizard, Nimue, was slain by a ghoul initiate of hunger - a custom elite monster of mine. She was at 4 hit points and the initiate scored a crit with its acidic blast. After much debate, the PCs chose not to use the resurrection artifact on her (the artifact in question is decidedly evil, and they're worried about the consequences of using it too often). She is buried in an ancient dwarven ruin.