Well, Rory (and Amy, I guess) "die" in "Amy's Choice." Rory really dies in "Cold Blood." Amy dies in "The Pandorica Opens." Amy and Rory "die" at the beginning of "Day of the Moon." Rory is drowned in "The Curse of the Black Spot." And Amy sees Rory dead in "The Doctor's Wife."

Only Rory ever dies in reality, but I think that it's more of a meta-joke referencing the show than anything...