YES! 
I dreamed once of my twin sister’s death. I remember being incredibly sad, thinking that I would have to wait so long before I could see her again. Which is weird, because I don’t think that’s the thought I’d have in real life, because I’m not really sure what happens after death. The thought was very certain, though, that I would see her again, but it would be a very long time until then.
I have also dreamed that I’ve been shot. Again, always on my own property, but never fatally. At least not fatal before I woke up. Another interesting aspect is that I’m being shot by someone I know. Not that I actually know who it is, just that my dream self is aware that it’s someone I know.
I’ve also done a few post-apocolypse settings where I’m losing hair and teeth to radiation poisoning.
That was the only one were I actually died though.
I remember dreaming twice of being shot in the head.
The first was a few years ago. I was with my parents in a park when a crazy guy came upon us with a gun. I was between my parents, and as he aimed the gun at my dad on my right, I rushed him and struggled with him, trying to pull the gun away from my dad and up toward the sky. But, that ended up bringing the gun up to my head. The man smiled and fired the gun, and the bullet tore through my right eye and exited out my ear. Everything went black, but I could still feel. I fell to the ground and felt myself peeling away from my body, starting at my feet and proceeding to my head, and then drifted up feet-first toward the sky. I was really sad that I hadn’t done more to help, and that my parents had to deal with this crazy man without my help.
The second dream was more recent. My fiancee and I walked into an auto parts store, when a unit of black mercenaries* quickly took over the shop and set up a hostage situation. I sighed wearily but figured everything would be fine. That is, until one of them caught me glancing and him, and promptly shot me in the head. I felt blood poor down my face and as my vision faded to black, I caught my fiancee’s eyes. It was profoundly saddening: not only had she seen me murdered just inches away, I had left her all alone in that situation.
I woke up really angry in both cases, but with a renewed dedication to the ones I love. The panic, the pain, the anger, the fact that my life was cut short- it was all nothing in comparison to realizing that I had to leave my loved ones behind.
- This happened around the time of the Your Black Muslim Bakery incidents in Oakland, so there must’ve been some influence on my dream.
I have dreams where I know I’m about to die, but I’ve never actually died.
In one, a relative is driving me quite fast around twisting mountain highways with no guardrail. It’s dark, and you can only just see the trees over the edge of the precipice off one side of the road. Then we don’t make a turn and, very slowly, we fly over the edge. I take stock of the situation just as the car’s nose begins to point down: “Are we screwed? Yes, we are screwed.” Then I wake up.
Last week, I had two death dreams in one night. The first, I was being held under water by a bully.
The second I’ve had a number of times. I’m a passenger in a convertible (Yes, I drive one) when we drive off a cliff, ala Thelma and Louise.