As an American, the closest I've ever heard to this happening was the Challenger explosion, and that was still in Earth's atmosphere. Has any of the world's space programs lost a astronaut and what were the circumstances that last up to that?
Soyuz 11- three cosmonauts died after separation from space station. Bad cabin vent, capsule depressurized, upon recovery all three had perished.
http://www.astronautix.com/flights/soyuz11.htm
60 some odd miles up, but I guess one could argue where they were when they perished.
Lots of great detail on space missions here by the way:
If you want to be really technical, most manned missions into space aren't really into "space". The Apollo missions were the only manned missions to actually leave the atmosphere of Earth.
Programs like the International Space Station, the shuttle missions and most satellites operate within the atmosphere of Earth.
Some satellites operate in the exosphere. But the shuttle missions and the International Space Station are in the Thermosphere.
To give you an idea, the International Space Station operates at about 250 miles above the Earth, while still in Earth's atmosphere. The Moon, where the Apollo missions traveled is roughly 240,000 miles from Earth. (roughly because their orbits are elliptical)
The United States technically stopped going to space after the Apollo 17 mission was completed.