|Terror (1978) [Burning Man]: Burned to death (though I can't recall the exact circumstances).
Bloody New Year (Horror Hotel; Time Warp Terror) (1987) [Dad]: Thrown through a wall and over a cliff by the undead Suzy Aitchison; due to the time/reality warp on the island, he later reappears as an undead being himself.
Shaun of the Dead (2004) [John]: Dies (off-screen) of the zombie virus; he appears as a zombie afterwards in the pub, and is finally destroyed when his head is knocked into the jukebox after being beaten with pool cues by Simon Pegg and the others.
(Note: As a professional stunt performer, Steve has probably "died" in place of other actors, though I don't know any specific examples. Further note: The IMDB currently has some of Steve's credits divided up into two separate listings, Steve Emerson (I) and Steve Emerson (II), but after comparing his appearances in Bloody New Year and Shaun of the Dead, I believe they're the same person.)