And doesn’t the crazy patient who shoots Willis rather gruesomely blow his own head off?
Oh yeah, he does. Forgot about him.
Annie X-Mas, I think you are right about the Stepford Wives–it all taking place “behind the pages.” Haven’t seen any of the movies, though, so can only comment on the book. Was rather creepy, wasn’t it?
Being John Malkovich - if, like me, you consider it a horror film.
Does it count if the supernatural being was once a person? Like a person getting turned into a werewolf or vampire and then dying? Not that I can think of any examples where only vampires/werewolves/etc. died…
Both John Malkovich and the little girl dies, or at least their consciousnesses (same thing really).
Requiem for a Dream
Jacob’s Ladder (sorta)
That’s what makes it a horror film - but strictly speaking, it’s possession, not death.
I suspect that the only reason Scatman Crothers’ character dies in Stanley Kubrick’s version of The Shining is that they realized that nobody had actually died. (The character does NOT die in the book). And, of course, Jack dies at the end, in both the book and the movie(s).
The Creature from the Black Lagoon – IIRC, the only thing that actually dies is The Creature itself. You might argue that it’s science fiction, but the film is promoted as a horror film, and makes little sense as SF.
I’m not sure if it will past the smell test, but no one actually dies in The Blair Witch Project.
There are disappearances and one guy waiting for something evil to happen (the guy standing in the corner at the end) and a camera operator silenced in some way or another … but no actual deaths.
Kiefer Sutherland does his damnedest, but they end up bringing him back in the end. They show the kid Kiefer picked on as a boy dying, and then boy-Kiefer dies in his place. But it’s surprisingly mortality free for a movie about a glorified suicide club.
This is wrong, several of the native workers are killed by the creature. Also, there may be one or more die fighting it. Have to watch that again soon. 
Don’t the spirits pull the real estate developer dude into the collapsing house with them at the end?
EDIT: Did a quick Google and several sites claim it has a body count of zero.
Unless you count the bird.
I recall that the movie makes it pretty clear that after a certain point the “possession” is irreversible and the original consciousness is lost forever i.e. death.
It’s heavily implied that they all died.
What? How is that a horror film?
He does, but not gruesomely. The camera pans past him as he puts the gun to his head, and you hear the gunshot as soon as he’s off camera, but you don’t see any blood or anything.
You are sooo wrong. I’ve seen the Scooby Doo movie. The horror! The horror!
And the actual cast. 
If you’re talking about the little girl in the pool, she’s fine at least until she turns 44. Craig is trapped in her subconscious, unable to do anything.
There’s that.
Came in here to mention The Others. Oh well. But yes, I can confirm that there are no deaths during the runtime of the film. Several deaths which took place before the beginning of the movie are later described, but never shown. The closest thing is the pictures of the dead servants.