Our bodies have basic systmes (namely, sleep paralysis) that prevent us from moving during dreams, in order to keep us from hurting ourselves. I would expect we have similar systems that prevent our bodies from reacting to dream accidents in such a way that would endanger us, like going into shock, shutting down non-vital systems. As someone said earlier, our bodies are hardwired for survival, and should not be capable of being killed by a random whim of the subconscious.

There is one case I can think of that would allow a dream to cause death, albeit not directly: a deamer has some pre-existing medical condition, such as serious heart problems, incredibly high blood pressure, or something like that. Some event in a dream causes their heart to beat faster and blood pressure to rise (this needn't even be a bad event), resulting in a potentially deadly heart attack. Wow, that sounded rather pessimistic...