Daedric dragger? Not http://i40.tinypic.com/e6obyw.jpg I hope!
Last time I saw my statue it was dead. :confused:
Yes, your statue can die.
Were you a vampire at the time, or were you effected by any poisons?
You can use the console to play around with your statue too. Just save your game first.
You can see the rocks to either side of the north gate here: http://images.uesp.net//b/b1/OB-Map-Bruma.jpg
Heading out of the city, the rock where your statue shows up is to the left. Entering Bruma from the north gate, it is to the right as you step in the gate.
From the wiki:
When you return to Bruma from Cloud Ruler Temple, you will find a statue of you as the Savior of Bruma, located to your right when entering the city from the North Gate. The statue's appearance is determined (and it spawns) the moment you enter a "new" cell occupied by Martin. This will usually be when you open the door to Cloud Ruler Temple after he has returned there, but can also be on the road to it if you intercept him along the way. The armor and weapon will be the best quality items that you had in your inventory at the time, not necessarily the items that you had equipped.
The game determines the "best" items, not just the most expensive items, taking into account enchantments; for example, the Dark Brotherhood Black Hand Robe has zero value but will take precedence over many other items, including some magical armor. If you are very particular about the appearance of your statue, it is recommended that you leave all of your additional items in a safe place before talking to Martin. If you possess a quest item that cannot be removed that you do not wish your statue to wear, it is still possible to work around this; see the Notes below.
http://www.uesp.net/wiki/Oblivion:Great_Gate