If your Shepard dies in the end of Mass Effect 2, that's the end of him / her' said Hudson, 'In that case, you can play Mass Effect 3 as "a" Shepard – just not "your" Shepard. As in real life, not being able to keep living is really the main down-side of death. So if you care about playing the next game with your character, make sure you survive this one.
Source: http://xbox360.ign.com/articles/996/996316p1.html
