They say you never die in your dreams, but I have. Usually, if something catastrophic is about to occur, the dream either ends, or one finds oneself suddenly in a new dream sequence.
Once, I believe I did die in a dream. The scene was a parallel reality, and I was stationed on a moon base. It was a large installation, the size of a small city, and we were pretty much self-sustaining. We had a lot of telescopes for deep space observation, and the technologies were more advanced than in our time frame (or else the scale of the operation would not have been possible). I do not recall my past in that dream scape, except that I know that my parents were both alive. I was single and around thirty.
I was in a section of the moon complex that did not have artificial gravity, and I was in a space suit, but without a helmet at the time. Suddenly, an unknown event, (possibly a meteor strike or an explosion), caused a major decompression and as the atmospheric pressure dropped very rapidly, I feared that I had no hope of surviving. I held my breath for as long as I could, realizing that this was surely the end.
As I started to lose consciousness, my last thoughts were of my parents, and I didn't want them to grieve over my death, since I was dying doing something that I loved, exploring the universe. I floated to the nearest bulkhead and with a sharp metal tool, I scratched into the bulkhead: "Don't cry for me". There was no more time, nothing else to say, and as I floated through the last seconds of consciousness, the words that I had scribbled there were the last conscious memory that I had, as I blacked out. So I died, on the moon. I wasn't saved. I wanted to live, but I didn't panic, and I accepted my fate gracefully.
There wasn't another dream sequence, and I awoke normally. That is the only dream I have ever had, in which I died. That was some years ago, I've lost track of how long. But I have never forgotten the vividness of my death, and I can still see the image of the words I scribbled on that bulkhead in the seconds before my death.
"Don't cry for me".