How often do characters die in your saga? How does character death go over? Is there something players generally do for the rest of the adventure?Any other feelings on this somewhat sensitive subject related to our hobby?
Not too often. A lot depends on the SG, and their approach to the whole issue- some "never" allow PC's to die. Imo, that's not necessarily a "bad" approach, so long as they don't let the Players know that's their policy- the threat of death has to remain real to keep players honest, imo.
And magi tend to die more often than Companions, it seems. No armour, more overconfident, and more ways to fatigue themselves into unconsciousness- and then it's up to grogs and such to drag them from harm, and that sometimes just doesn't happen. When a Companion hits the ground, a mage will often be able to pull a rabbit out of their hat- when the party's mage falls, the mundanes often start eyeing the possible exits, or sadly just get rolled up now that the heavy artillery is gone. (100% casualties are not uncommon once the magus is out of the equation, in my experience.)
What do players do? Heh, almost without exception, they grab the books, and start building their next character! 
It happens sometimes, but as a storytelle I try to keep it to a minimum. The characters can expect survive mostly any encouter or stories I create at one exception, if they act stupidly i'm not anymore a friendly storyteller 
Combat on the other hand is dangerous, I try to lower subtly my too-high-critical-rolls that could kill a character outright, instead I put him in a even more perillous situation. The best way is to keep away from battles, and I leave always a way to avoid it.
In our games it's sadly the magus characters who die the most. Botches and magical botches can be deadly pretty quickly in a good supernatural aura.
That reminds me of a magus who was nearly killed 5mins after his first apparition in game. The player started to harass and makes fun of our Berzeker-giant-blooded-easily-angry-mercenary compagnon. He did go berserk after a while, taking all the mages by complete surprise. Each of the mages at the council started casting spells to protect the poor fellow. What a chaos ! Gladly for him our compagnon hadn't any magic resistance 'cause he would have repainted the walls.
Quite a funny scene.
In our saga we've been constantly treatened by something (be it a dragon, giant, fey ogres, the local graf (and army) or a few hundred demons), but so far only 2 magi have died - and they were both NPCs (players no longer part of our group). We've lost a lot of grogs however, and each of our magi has lost a shield grog in his defence.
Personally I believe having a dedicated shield grog is a must for a magus - it tends to keep him alive long to cast his magic...
We too have had more than our fair share of violence from demons, Diedne, infernalists (and infernalist Diedne), local nobility and their goons. We've lost many grogs.
Shield grogs seem to have the worst life span, we've taken to treating our shield grogs very well and if they are injured (but still live) they can expect rapid magical healing.
The rest of the turb have been involved in a few massed battles. In one instance, a pair of renegade magi led a group of mercenaries against our covenant while we were all at tribunal and we suffered very heavy losses.
Most recently, dissent amongst the grogs, partially formented by a traitor magi in the covenant, has lowered morale. During the Traitors mistake, he slew a large number of grogs, including some that had been with us for a long time. This didn't exactly help with morale either.
We've not had any magi die as of yet, although getting horrifically wounded is a regular occurence. It doesn't help that 2 of the more senior magi are combative, proud and very arrogant of their abilities. This often leads to violence when diplomacy would have been better. Notable examples include one magi starting a fight with some young noble students drinking and wenching in a tavern. Before he even lands a blow, he loses the initiative, gets hit on the head by a tankard (swung with considerable force) and goes out like a light. The other magi watch briefly as the noblemen gather round the unconcious magi and give him a good kicking before intervening.
So dead magi, not yet. Massively wounded magi. Oh yeah, all the time.
nice.
One of the magi in my campaign said the wonderful phrase "We shouldn't need to bring the grogs," before seven-league-striding into the middle of an ambush. One of the other magi used "repel the wooden shaft", but only deflected the arrows coming at him. The first mage took an incapacitating wound, so that was close, but no dead magus.
As a SG I try to avoid killing magi (and to a lesser extent companions) as much as possible. They're usually at the centre of the saga and losing them can wreck carefully laid plans (or at least make them tricky to implement). That said, I've killed a total of two magi over the years, both of the same player. The first time he committed the exact same error as he had a couple of years previously in a Call of Cthulhu scenario: his character wandered off alone in the fog to investigate a powerful, deadly assailant. The second time, well, I'd given his magus a free pass a couple of times in previous stories, but standing directly under a trapdoor while sponting a ReTe spell to lift a portcullis, when a couple of grogs have already had molten lead poured onto them from above ... what can a SG do? In short, sometimes stupidity will force a SG's hand.
I've also had one of my own magi die. One of our troupe was making his first foray as SG. He'd played 30+ Ars stories before, but his background as a GM was almost solely in AD&D and Star Wars d6. His story railroaded us into a fight we couldn't possibly avoid, one he thought was "even" but, as was obvious to me and the other player, was weighed against the PCs. Once my maga - the only one with any real offensive capability - froze herself solid with a botch, it turned into a massacre. Two of the saga's three magi died and as alpha SG I had to alter and in many cases scrap several stories I had planned. Luckily the saga's central theme was independent of the magi's "story flaws" (this was 4e).
As for grogs ... I like to run dark sagas, and as I make clear to my players from the outset, I reserve the right to kill grogs out of hand to advance the plot and scare the bejesus out of them ... or even just as a warning, as in the molten lead example above (fat lot of good it did rofl).
It may seem common sense, but the daeths in our campaign tend to be the result of the situation... when you go check out the old Tytalus covenant with a pack of grogs and run into demons, people die. When you go to check out the old Diedne/Fae/Nature magic site and awaken the blood sacrifice tree in close quarters, people die. Try to ambush the Northumbrian sherriff on the road to Ravenglass, and ... people die. Deal with Scottish Reavers and clan feuds supplimented by demons and spirits, and...(big surprise, I'm sure, ) people die. Go to Tribunal? Not so much death. Visit Barcelona or Durnenmar or Coeris to gather information or do some investigation? Much less death... well, not so much Coeris, but that's like visiting JPL, a NBC missle testing site, and the capitol all wrapped up into one. I think we felt lucky to get out of there with just an incap.
We ended up adding rules to the charter-- no more than X grogs may leave the covenant on activities per season. If a magus leads the grogs out and suffers casualities, he's responsible for replacements. We split the grogs into magus-specific turbs, to try improving the loyalties and the support. Wierdo-low-presence-low-communication-strong-fae-blood magi do not fanatically loyal grogs make, at least not usually...
-Ben.
I like to be a "let the dice fall where they may" sort of guy. And we've had the occasional character death in my games. And the fear of death makes better gaming to me. That being said, death typically is the results of multiple mistakes and option. Well, for real characters. I've always been eager to let a grog die for the wizard's actions, but they seem to have unnatural luck. I did kill one for doing something definitively stupid, and the player saw it coming and it was all okay.
Although to be honest, most character deaths in my games have resulted from people leaving the saga.
Well, that's what Mentem spells are for.
Nice bit about the charter- grogs are resources, just like anything else- regularly squandering your share should carry some penalty. 
The first mage I remember kicking it in our various sagas had life-linked magic- should have been called death-linked magic imo. First combat he pumped it up, and almost killed the Beastie. The "almost' part was awkward.
That same player then ran a Bjornaer with a truly unpleasant heartbeast. But it wasn't as unpleasant as he thought, it turns out, and the lake monster was just a little tougher- and could hold its breath longer, too.
Yeah, in both cases, just one or two more grogs- who could have been called upon, had the mage been patient- would have made the diff. But the rest of the Players were very careful after that.
Oh yes. One of the most memorable character deaths in my sagas happened in that way. I'm sure I've told this story before.
The PC magi were pursuing a demon who was known for possessing people, then causing trouble. This was a major opponent in the saga. They tracked it down to a cave, and were standing in a tunnel, with flickering flames and a sense of menace coming from around the corner ahead. They stop to quickly discuss strategy, rather than charging right in: all very sensible so far.
One magus casts a spell to resist fire on himself. Again, very sensible. Unfortunately, one of the other magi has no defence against fire, and too much Magic Resistance to have the spell cast on her.
"No problem," says her player. "I drop my Magic Resistance."
I pause, to see if this will be retracted.
"So, you drop your Magic Resistance so the spell can be cast on you?"
"Yes, I drop my Resistance."
"Right, so, you drop your Magic Resistance." pause... a bit more pause... no last minute response from the player, or any other player. "OK, the spell is cast. The flames from around the corner have vanished."
The demon didn't do anything until the possessed maga was back in the covenant. Caused quite a bit of damage (and was actually stopped by the dragon pretending to be an apprentice, as I recall) before having the maga swim to the bottom of the sea.
The universal response when the players realised what had happened was "Oh, yeah, that was really stupid".
Dave, (anyone)
That brings up a good point....
I don't remember any.... 
But are there any game mechanics for possession?
IE: If a demon tries to possess someone, is there a stamina check, or something?
RoP: Infernal, page 32.
I prefer "David", by the way.
I generally try to avoid killing characters. That doesn't mean that they won't find themselves in situations where they might risk suffering heavy or even incapacitating wounds, and the recovery times (since vis is not super-plentiful in my sagas), with the consequent impact on lab activities, training and the like, are enough of a deterrent to stop people from taking unnecessary risks with the grogs or themselves. My players are also good roleplayers, so they generally avoid unnecessary risks because that's how their characters are likely to behave...
However, I've found that there are some circumstances when character death is simply unavoidable or even useful:
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Gross stupidity. If the characters are going to attack the obviously-much-more-powerful-and-meaner-than-them dragon/demon/archmage/whatever, they deserve all that they get.
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Really bad die rolls. My players accept it when Lady Luck sniggers evilly and turns her back on them.
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Meta-game reason: When you need to retire a character because the player leaves the group or someone wants to retire their character in a dramatic fashion and start a new one, death can be a good way to do it if you're certain you won't be needing the character again and you want the character's disappearance to have a dramatic impact.
Just my two filus.
Death is... a common occurance for those who seek the field of battle. The grogs and the companions has a better rathe than the magi for this since for some reason they seem to seek out opponents not quite as challenging as angry hoplite. (Why do THEY get the Zweihanders? I'd KILL to get to only face Zweihanders!)
Once the Magi goes down though, they tend to be closely followed by the entire troupe following them into the field.
Death is a common guest at the gaming table when people try something foolish and do not have enough track with lady fortuna.
Or occasionally when you try SOMEWHAT interesting things and have NO hand with lady fortuna. (30 zeroes rolled in a single evening session, needless to say the ONE spell I managed to get off was enough to poison my arrows.... before fumbling and rolling down the hill impaling myself on the arrows and finally rolling to a stop at the feet of the pursued magus ( a spectacular 6 zeroes on a athletics roll to run down a craggy hillside holding 3 poisoned arrows crosswise in my mouth... Quote "... shit.... I think I swalloed one of the arrowheads..." )
If I remmember well, lady luck is the source of many death in our campaign.
Imagine that, a magus is wounded, when we heal him (with vis and a pretty strong aura) zero, we roll the botch dices... 5 botches on a healing spell...
It happens. Rarely but it happens.
I usually lessen the damage taken by the players when it comes from bad luck, but I give some nonetheless. If they're too stupid to back off, well, too bad for them.
I feel like the world must be dangerous for the players to care, and for that, they must feel that death can happen, and will if they're not careful or lucky enough.
IMS people do not die very often. Unless they do something stupid as pointed out or we have a potential deadly engagement.
In fact the klatwer are way more common than I would find wise, but my players are a little bit derranged and they seem to enjoy the BIG endings.
So far we have had 3 big endings
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Result of a botch on a DEO with 11 vim pawns. Gate to hell right in the covenant. Ended session. We knew the bnext session or 2 would be simply the final battle in the covenant while it was overrun by hell's forces. It was amazing and we really enjoyed it. Funnily enough, no magus had any teleport spells or wished to teleport away. Only survivor was a stable boy that was up to grow into a fanatical crusader in our next saga.
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Dragon teasing is not good for you. Nuf said, really. AN uopset dragon is dangerous for your health, regarless of your MR.
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Big duel in the middle of Toledo with a rival (archenemy) covenant, Ended with the equivalent of a medieval Nuke thanks to wizard's communion on BOTH teams coming out at the same time. Finishing sentence was along the lines of "Take this damned Quaestior!!. Just in stronger terms. Has become quite a catch sentence in our gaming group. The covenant survives, but just as a mercenary village, since the magi are all dead and the grogs sold the magical stuff
I am already planning a few big conflicts in our c urrent brittany saga, just because of that attlitude by my players.
For grogs, the death rate is way higher, but we have a 50/50 death rate between magi and companions. The "gandalf attitude" of self sacrifice is not that uncommon IMS.
Best,
Xavi