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Unless you are Kamina. And people keep asking me if the Servants die. I'll have to explain it now to the n00bs? Tch. Okay, here's the rundown.

The Servants in Fate/Stay Night do not die when they are killed. They are Epic Spirits, so when they 'die' they just disappear and go back to Avalon/Valhalla, whatever you want to call it. It's that place where an epic hero goes to when he or she dies during their lifetime. When Cu Chulainn (Lancer) died in his mortal life that's where he ended up. When Arturia died (Saber), that's where she ended up. There is a doujinshi that explains what goes on in that place. Apparently, when the Grail War is not being played out (i.e. the ten year inerval between each War) they are all there having mock battles or just enjoying their stay in paradise. Also, the timeline of that place is royally ********, which is why Archer/Shirou looks to be around his mid-to-late twenties.