He does die. And fuck me for knowing this.
In the film Neo sacrificed himself not only to save humanity, but to save the Matrix. The "real world" is still quite inhospitable.
As it's pointed out in the first film, a lot of people aren't ready to be unplugged from the Matrix. The Matrix serves as a method to protect humanity from themselves, whilst providing a means for the artificial intelligence living in 01 (zero-one, the Machine City) the freedom to live as well. Essentially, the machines are better off being in control, while the humans are led to *believe* they're in control.
The story goes that earlier versions of the Matrix existed that were perfect in every way but this caused problems due to human nature and propensity for violence, hate, war, etc... whole crops (of humans) were lost and the machines had to arrive at a different solution.
The whole point of "The One" was to facilitate the incalculable sum of human choice.
There where 5 instances of the Matrix prior to Neo's arrival. "The One" is simply a program uploaded to a suitable human host. In every prior instance, the One enters the proper door, the Matrix would have been rebooted. All the humans living in Zion would have been killed. The One would then be allowed to leave the Matrix ,selecting (if memory serves), 18 people, over half of them being women, to propogate in the real world anew.
The problem came (things didn't happen EXACTLY like they had in previous iterations) when the Agent Smith program failed to return to The Source (as all rogue/Exile or obsolete programs are designed to do) and started destroying the Matrix from within.
The machines could not control Smith, so Neo brokered a truce, giving his life (re-balancing the equation) and the destruction of the Smith virus in turn saving the Matrix, and the humans still plugged in, as well as the ones in Zion.
Post-films -- a bunch of stupid bullshit happens and that's why the Wachowski brothers have all but completly abandoned The Matrix Online mmorpg -- except to cash their monthly royalty cheques.
So yeah... Neo Christ.