Your character forgets the events and information leading up to their death. The only exception to this is your wanted level.
Wanted/Bounty prices are persistent over deaths to enable long winded police chases and bounty hunter chases and without this we wouldn’t have police and bounty hunters tracking down the person with them being on the run for weeks/days. Example: Matt, John and Ben are rebels who try to rob the bank.
During the shootout with the cops, Matt and Ben die, John get's arrested and spends some time in jail. When they all meet again, they all would roleplay the situation in a way that they all tried to get away, because they realized that they couldn't handle the situation. Matt and Ben got away, though John got caught. If the players want to have the deaths involved, they might tell stories of other rebels that died there, who were with them initially.