Astronauts very rarely die in outer space.
Space itself is not the biggest danger. Getting
there, and getting back are much more dangerous.
Technically speaking, there are only 3 men who
have ever died IN space. They were Russian
cosmonauts, the crew of Soyuz 11, died when a
valve on their craft burst which allowed all of
their oxygen to escape into space. They suffocated
before they could return home.
No astronaut has ever died due to exposure to
space. In fact, some animals have been exposed to
space for breif periods (10 seconds) and lived
relatively unharmed. There is a pressure
difference if you're exposed to space, but your
skin and veins are hardy enough to protect you. It
is cold, but you also need something to transfer
that cold to you (more correctly, you need to be
able to transfer your body heat to something).
Since space is mostly empty, that can take a long
time. Really the biggest danger is suffocation.
But space flight does carry heavy risks and
sometimes things do go wrong. In total 18
astronauts/cosmonauts have died during their space
missions in 4 separate incidents.
In addition though, many more people have been
killed as a result of accidents that occur when
handling and testing some of the components of
space vehicles, or even during training. Getting
to space is no small feat and doing so pushes the
bounds of what scientists and engineers know. It
carries dangers with it, as does any activity. But
we chose to boldly go where no one has been before
to satisfy our thirst for knowledge about the
universe around us.
Hope that helps.