This depends on the event but the majority will have rules in place that means that your character can die and never come back. This would involve some sort of dying period after being taken down (physically, magically or maybe even by drinking the wrong potion). Once that period is over, your character has expired and you must tell a referee or the Games Operation Desk.
When death occurs, you will need to make a new character. You are normally expected to give up any assets you were carrying because it would be strange for your next character to turn up with the same assets. Also, you will need to act as if any information gathered as your last character has been forgotten. It would be considered cheating to reference information your new character didn't learn for themselves.
When creating a new character, you should avoid being a relative of your last character or holding any sort of grudge if another player's character was responsible for your last character's death. There is nothing more cheesy or irritating for other players than a vengeful twin sibling turning up.
Losing a character can be quite an emotional experience as you might have been very attached them. Whatever the case, it's a good idea to take some time to let it sink in and to let go of them. Not doing this can make the rest of the event tough. It's better to sit down with someone can chat through some new ideas to get excited about.
Allowing characters to kick the bucket can make in-character decisions and fights feel more important to the player and therefore more immersive. It's a lot easier to get emotionally involved in a game when you know that lives are on the line!
