I've been bitten by a spider and died in a dream once...it was strange. Most of the time I don't actually die in my dreams, though, or if I do then I don't remember it. The spider dream is just one that tends to stay quite prominent in my memory, despite the fact that I dreamt it years ago when I was about eight or nine years old.
The dream did continue after I died, sort of like an out-of-body experience, I suppose, in which my brother and his friend were laughing at me (they were the ones who set the spider on me in my dream). Hm...now that I think about it, that might explain why I now have an irrational fear of spiders.
As to somebody's comment on not being able to comprehend your own death at a young age, I disagree. Although perhaps my opinion in this case could be quite exceptional and biased, relating to the fact that I have died before, when I was about eighteen months old (I drowned in my backyard pool on Australia Day).
Before people start making comments about 'not being able to type if your dead', I'll just add that thankfully I was able to be resuscitated and didn't sustain any major, permanent brain damage. That being said, I do have 'deceased' on my medical records, because once you have a certain percentage of your lungs filled with fluid, that becomes the title of your 'condition'.