Re: Why does Shepard always die?
The writers always planned for the End of the Game to be the End of Shepard.
Period.
Spoiler
As a previous poster noted, if your EMS is high enough, (over 5000, 4000 if you stop TIM from killing Anderson, and I've heard it's down to 3100 if you have the EC installed) and you chose the "Red" option, then after the Stargazer epilogue there's a close-up of... well it's not quite clear (at least on my screen) but it's obvious heavily damaged and charred N7 armour. Just before the cut-to-black you hear a gasp and see the N7 insignia heave.
Is that a better ending?
But otherwise, the best you can do is the MEHEM, as the previous poster mentioned.
EDIT: This just in; the MEHEM experience can be further enhanced by employing the Citadel Epilogue Mod.
EDIT2: I don't mean to imply that the MEHEM is anything but amazing! The amount of work, and (dare I say...) love that went into it is truly astounding. And it keeps getting better. MEHEM v .03 was released over the weekend. Still a work-in-progress, but what a work! My thanks to MrFob, et al, for giving (some of) us what we wanted when BioWare didn't.
EDIT3: Added revised EMS info in the SPOILER.
