How Did She Die? Which time? Jean Grey's been back from the dead more times than you've had hot dinners. She first died whilst the X-Men were fighting a trial by combat for her life against the Shi'ar Imperial Guard; her Dark Phoenix powers emerged and Empress Lilandra blew the hell out of her with a very large cannon. Thanos removed her from existence with the Infinity Gauntlet, once; Sentinels killed her next. Wolverine also stabbed her so that she didn't have to burn alive in the husk of Asteroid M, which was plummeting into the sun.
The most recent one was as long ago as 2003, when a mutant who believed himself to be Magneto gave her a stroke, only for the character to return properly in last year's Phoenix Resurrection.
How Did She Come Back? Jean's most recent return came just the other month in the aptly-titled Phoenix Resurrection, where she and the Phoenix fight over her future. The comic also showed how Jean was actually trapped in a Phoenix egg, and with a little help from the X-Men, she's back in the land of the living.