Nah, he didn't die. The series builds you up to know that by the end.
The spoiler I almost didn't catch wrote:Vash really only kills Legato. Yes, indirectly he deals in the deaths of the Gung-Ho guns, but he sticks his gun to Legato's head and pulls the trigger. Also, the fact that at the end of the fight he shoots him with regular bullets rather than the miracle-light gun thingy, and only through the arms and legs. Unless he bled to death in the desert, he's fine. That's where the open ending comes from. Why did he leave him alive? What are they going to do now? Is he going to change? Why the hell do the Japanese use open endings in almost every anime I've seen? We don't know.
To ZeWrestler:
Yes, a second season would rule, but the likelyhood of that sits somewhere around a second season of Hellsing, the only show I can think of off the top of my head with a more open ending than Trigun.