Thats a really good one. I still don't know EXACTLY what happened with Lorkhan though...
If you're an Elf, then Lorkhan tricked the Aedra into creating Mundus, and when they recognized the trap, they tore his heart out and Trinimac shot it into Nirn, which formed Red Mountain. If you're a Human, Lorkhan cooperated with the Aedra to create Mundus, then willingly gave up his heart to help and to guide the inhabitants of Mundus.
Either way, he's essentially "dead to the world," but isn't dead-dead. Or some would say that he's dead, but he keeps forgetting. He's known to send incarnations to Tamriel, such as Pelinal and King Wulfharth (and, maybe, the Dovahkiin of Skyrim.)