Here's an interpretation from WikiAnswers:
To dream that you die in your dream, symbolizes inner changes, transformation, self-discovery and positive development that is happening within you or in your life. Although such a dreams may bring about feelings of fear and anxiety, it is no cause for alarm and is often considered a positive symbol. Dreams of experiencing your own death usually means that big changes are ahead for you. You are moving on to new beginnings and leaving the past behind. These changes does not necessarily imply a negative turn of events. Metaphorically, dying can be seen as an end or a termination to your old ways and habits. So, dying does not always mean a physical death, but an ending of something.
It is important to recognize that all death in a dream represents change. If people are dying in your dream then it represents aspects of Self that have changed. When you die in a dream it shows that you have undergone a change or transformation of Self. If someone is trying to kill you in a dream and you do not want to be killed, then you feel like change is being forced upon you.
In any case, reason with your dream. Who is dying? How is the person/people dying? Are you or is someone killing or are the people dying of natural causes. The type, manner, and method of death will show you about how you experience change.
You can alter these dreams by learning how to cause change in your life. Initiate changes in YOU, not just changes in your physical environment. What qualities do you want to build? What virtues do you want to embody? Take steps each day and do something different than you ever have before. This will ensure healthy improvements throughout your life.