seanchai and I were both going, "No! He can't die when Arthur's not even King yet!" as soon as we heard his name and realized the next guy to fight the Black Knight (and lose, because it was a given that either Arthur or Uther would de the one to defeat the Knight) was Sir Pellinore.

She suggested that possibly he was only mostly dead, and was going to re-appear with no explanation in the questing beast episode that we knew came later in the season (sadly, he doesn't).