Mantis#2316. Thank you kindly, CMickeyb for a patch that:

Addresses llDie issues. The attached patch catches run time 
exceptions that occur during method invocation (of type 
TargetInvocationException) and exposes the internal exception. 
This makes it possible to pass out the SelfDeleteException. 
Also added handlers in a couple places to make sure that 
exception was being passed out far enough to be handled 
correctly. Tested on DNE.

OpenSim/Region/ScriptEngine/DotNetEngine/EventQueueThreadClass.cs

@@ -196,13 +196,15 @@ namespace OpenSim.Region.ScriptEngine.DotNetEngine
                         SceneObjectPart part =
                                 lastScriptEngine.World.GetSceneObjectPart(
                                 lastLocalID);
-
                         if (part != null && part.ParentGroup != null)
                             lastScriptEngine.World.DeleteSceneObject(
                                     part.ParentGroup);
                     }
-                    catch (Exception)
+                    catch (Exception e)
                     {
+		        if (lastScriptEngine != null)
+			    lastScriptEngine.Log.WarnFormat("[{0}]: Exception {1} thrown",ScriptEngineName,e.GetType().ToString());
+		        throw e;
                     }
                 }
             }
@@ -288,6 +290,16 @@ namespace OpenSim.Region.ScriptEngine.DotNetEngine
                                 InExecution = false;
                             }
                         }
+		        catch (SelfDeleteException sde) 
+			{
+			    // Make sure this exception isn't consumed here... we need it
+			    throw sde;
+			}
+		        catch (TargetInvocationException tie)
+			{
+			    // Probably don't need to special case this one
+			    throw tie;
+			}
                         catch (Exception e)
                         {
 			    InExecution = false;

OpenSim/Region/ScriptEngine/Shared/Api/Runtime/Executor.cs

@@ -191,8 +191,20 @@ namespace OpenSim.Region.ScriptEngine.Shared.ScriptBase
             //Console.WriteLine("ScriptEngine: Executing function name: " + EventName);
 #endif
             // Found
+			try 
+			{
 				ev.Invoke(m_Script, args);
 			}
+			catch (TargetInvocationException tie)
+			{
+				// Grab the inner exception and rethrow it
+				throw tie.InnerException;
+			}
+			catch (Exception e)
+			{
+				throw e;
+			}
+        }
 
         protected void initEventFlags()
         {