I've died many times in my dreams. Usually I wake up at the time of death. A few times the dream has continued without me really existing in the dream though. When people say nothing can hurt you in dreams, they mean you won't wake up with a bullet wound in your chest. You can still feel pain and all of the other senses however. So unless you have the right mind set at the time, dying can hurt quite a bit. It's interesting and you can try it if you want, but I don't really recommend it.

I've also used to feel very lonely in my dreams. I think that's why I have four dream guides now. They can be more than just helpful dream characters and be friends with you. Having my dream guides/dream friends around has always been very fun. Finding a dream friend is definitely something worth achieving.