In a roleplaying game, just because you're dead doesn't necessarily mean you're gone. There are plenty of ways to come back or simply keep going. You can be resurrected, you can be reincarnated in another bodily form, you can have your personality transferred into a clone, you can be uploaded into a computer, you can become undead, you can move on to another plane of existence from which you might conceivably return. You could even never have been dead in the first place, despite all appearances.
This is all well and fine if applied to PCs, since they are the characters the players have invested time and effort into making an integral part of their gaming lives, and it's often intensely sad to see them expire.
But nobody ever said GMs can't apply this to villains as well...
GM: Luke, you hear a voice calling to you. Ben, you're up.
Obi-Wan: Luke. Luuuuke!
GM: You look up and see a shimmering, transparent figure in the snow.
Luke: Bartender? Are you a... ghost?
Obi-Wan: Ghost? Don't be ridiculous. There's no such thing. I'm a cloud of midi-chlorians.
Luke: Obi-Wan?? But you're dead.
Obi-Wan: From a certain point of view.
Luke: Darth Vader disintegrated you! I watched you die!
Obi-Wan: No, you watched me Force Transcend.
Luke: Force Trans... the hell?
Obi-Wan: It's a Jedi method to transcend your physical form when you are ready to move on. The body vanishes and the spirit lives on in the midi-chlorians.
Obi-Wan: Vader boasted that he'd discovered a new Jedi power: "Force Disintegrate". But it was an old power, which he misused. He never understood its basic function.
Obi-Wan: I needed to create a diversion so you could escape from the Peace Moon. And I needed time to ponder the Jedi Order's failure. So I let him strike me down.
Luke: And now you're more powerful than he could ever realise!
Obi-Wan: Well... let's just say I'm not feeling the cold.