I have had both lucid and non-lucid dreams in which I died. Generally, the dream ended (and for me it's fade-to-white rather than fade-to-black); a couple of times, I ended up as a "ghost" (i.e., immaterial and not capable of interacting with the world). No physical problems ever resulted.

However, there's a variable in my situation that might change things: I'm a Christian, and as a result firmly believe in the permanence of the soul; so I know death is not the end of everything.

It would be interesting to see the experiences of an atheist with lucid dreaming and death--anyone like that out there?