*Spoiler*
I've read the manga way before the anime came out.. and I hate myself for it. Yes she really did die, and this is the whole reason of why Train is who he is now. Great plot and background story for Train's current profession in the manga. Not only that it only gets better and better. I actually thought they did the anime better than the manga, considering how in the manga it starts off with Saya already dead and not really letting us getting to know her character and amiable personality. I must say though, I feel like I sorta got to know her better because of this. Haha, Chrono's don't seem so hot right now, but later you can see what they're really made of too ^^
(Moderator Note: post spoilers like this, greetz DoR)