My primary villain (featured in 130 novels and 2,000 short stories since 1978) dies in every story. Because he is a Lich (and thus immortal) he's back alive again in every next story. Though he is immortal, he can be wounded, feels pain, suffers the same effects, and dies, just like any mortal person. So he gets hungry and has to eat and will starve to death if he doesn't eat. If he is stabbed, he bleeds and feels pain same as any one else, and could bleed to death or die from infection if the wound is not tended to. The only difference is, a few hours (or sometimes days depending on cause of death) he just gets back up like nothing ever happened.
I have tried to have him die a completely different way in every story. He's been poisoned, stabbed, hung, stung to death by bees, fell off a cliff, jumped off a cliff to prove a point, starved, pecked to death by hummingbirds, put in an iron maiden, burned at the stake, burned by a dragon, burned by a wizard with a fire ball, cut in half by orcs, hit by lightning, skewered by unicorns, stung by jellyfish, strangled by squids, disemboweled, sacrificed on an altar by Cthulhu worshiping cultists, zapped by angry wizards, flayed...and of course in one story he is beheaded. It requires the help of a Necromancer to magically reattach his head, so he can fully resurrect properly. Otherwise he would have been walking around carrying his head, which is what another Lich is seen doing in a different story in the series. He later laments not being able to carry his head and considers trying to be sent to a guillotine just so he can walk around carrying his head to see how people react.
The reason he is immortal, btw, is because he cut out his soul and put it in a phylactery, thus making himself a Lich. The only way to truly kill him and have him stay dead permanently is to find the phylatory and kill his soul first, THEN kill his body. But the average person doesn't know he's a Lich or even what a Lich is, so no one ever thinks to look for his soul before killing him. They just assume, like any other monster, kill him and he'll die. They don't realize that he'll stay dead for a few hours then the next day, there he is back up and around again like they never killed him at all.
That's how I did it in my story.
It's your character, your story... just start writing the scene and see what direction it naturally takes. That'll likely be the best direction for your story to head in, no matter what way it goes. Always remember... as the author of your book, you are the god of your universe, so you can do whatever the hell you want to your characters.