Apollo 13 returned safely. The Challenger was leaving when it exploded. The Columbia was coming back when it burned up, as was that Russian guy who was profiled on National Public Radio (NPR) and that recent book. Has any human ever died in space?
There have only been 3 recorded deaths that occurred in space (that is, greater than 60 miles above the Earth). The crew of the Russian capsule Soyuz 11, died when their capsule depressurised during preparations for re-entry. It wasn't known they had died until the re-entry capsule was opened on Earth as communications had been lost with the capsule during re-entry. All three crew members died as a result of a loss of pressure in the capsule. These are the only recorded fatalities to have occurred outside of the Earths atmosphere and in space. You can read more about the series of events that lead to the accident here. There have been no deaths outside of the Earths gravitational pull (if this is what you are inferring) though since no humans have ever left it and as Stuart says, it technically extends to the edge of the universe.