Well, most stars last millions to billions of years, so the likelihood that they will die while the light is in transit is pretty low (for those only a few hundred light years away, that is). On the other hand, when we see a supernova that is, say, 160,000 light years away (there was one in 1986 at that distance), we see what happened 160,000 years ago. So, yes, the star was dead long before we saw it go.
This really isn't that unusual though. When you hear something, you here what happened when the sound started out, not at the time you hear it. So when you hear a plane in the sky, the sound appears to come from a place behind where the plane is. SImialrly, thunder is heard several seconds after the lightning flash since the sound has to travel from the lightning flash to you. The only difference with stars and light is that light is as fast as anything goes, so we don't have other things to compare to.