I've died multiple times in my dreams. Various things can happen at that point.
Sometimes I jolt awake before the event, and sometimes I just become some outside observer after that.
I used to have a lot of nightmares, and learned to lucid dream at one point. A neat skill that lets you take control of your dreams if you can just remember that you're dreaming.
One dream I had involved myself getting into a car crash... Just at that instant, I remembered I was dreaming and rather than jolting awake, I stopped everything.
The car froze, the car I was about to hit froze just as I was about to die... Very weird experience. At some point, I pulled myself out of the frozen car, and let it all go again (and gave up control of the dream)... but I had forgotten about the guy in the other car who died in the wreck. The dream ended with the poor schmoe unable to get into heaven due to his death being delayed by a few minutes (he essentially missed his reservation), and he was forced to wander in limbo for eternity.
Man, that dream sucked.