The only way I think you can die in a dream is shock...or perhaps pure terror, but I suppose the only way to really terrorize yourself is if you had something real wrong with you and you couldn't wake up from dreams while scared or something. Of course, I don't know why you should worry about dying in dreams. There's alot less ways you can die while dreaming than you can while awake (electrocution, murder, tripping up real bad, falling off high things).