I think its probably urban legends or stories. My teacher told us this story at school:
http://www.snopes.com/horrors/gruesome/freezer.htm
I'm not sure if its real, or even possible, but i'm leaning toward saying its not. I think we can be sure its highly unlikely. Killing yourself in a dream would be a pretty hard thing to do, and seeing as a lot of people, probably everyone, has 'died' in a dream at one stage, and we're all still alive, (lol, don't argue with my logic) i think its safe to say its not something to worry yourself with.