The Master's death has yet to be depicted on screen; being a Time Lord, he doesn't die, he regenerates. However, the series is not consistent on its nomenclature, so Time Lords are sometimes said to "die" before regenerating into new bodies and personalities.
He had regenerated 12 times by the time of "The Deadly Assassin", and was said to have used up his allotment of regenerations and was living on borrowed time near the end of his 13th life. In "The Keeper of Traken", he used a "body stealing" method to give himself a 14th "life" and after apparently being executed by the Daleks in "Doctor Who" (the 1996 TV movie) he used another trick to gain another life (there may have been others in-between these two that have never been chronicled) but was apparently "eaten" by the TARDIS. During the Time War he was revived by the High Council and given a new set of regenerations (the life limit is artificial and can be extended by the Time Lords, as revealed in "The Five Doctors" and bestowed upon the Doctor in "The Time of the Doctor"). It is not known how many incarnations he had before assuming the Prof. Yana one in "Utopia", during which he is shown regenerating naturally on screen for the first time after being shot. At the end of "Last of the Time Lords" he was shot again and appeared to die after refusing to regenerate, but he was revived (again) in "The End of Time" and was last seen being transported back to Gallifrey at the end of that story. His fate after that remains unknown; he is not referenced in "The Day of the Doctor".