Prophecy

Well that depends on a which timeline your looking at. In alternate timelines they've all been killed at sometime or another I believe.

The Age of Apocalypse (alternate timeline) story arc is best known for killing off Professor X before he has the chance to found the X-Men. Lots of people die in that storyline and lots of good guys from the regular timeline are now bad and vice versa.
Cyclops dies in that storyline if I remember correctly.

Jean Grey sort of killed in the Phoenix Saga, I won't explain anymore b/c it's complex. It's enough to say that the real Jean doesn't die but a copy of her does.

In the main continuity storylines the only dead members of the X-Men that I know of are: Psylocke, Colossus & Thunderbird.

Edit: Lots of people in the comics have had times when they appeared dead but reappeared alive later, in some cases much later, though some specially written story arc.

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