You do not lose Class, Race, Level, or Curses when you die. The other characters get to loot your body when you die, each getting one card from your revealed hand or the cards you had in play, starting with the highest level character. The remaining cards (non-Class/Race/Curse) are discarded.
The rules have a section labeled Death that clearly explains the consequences (page 3).
Death - If you die, you lose all your stuff. You keep your Class(es), Race(s), and Level (and any Curses that were affecting you when you died) – your new character will look just like your old one. If you have Half-Breed or Super Munchkin, keep those as well.
Looting The Body: Lay out your hand beside the cards you had in play. Starting with the one with the highest Level, each other player chooses one card . . . in case of ties in level, roll a die. If your corpse runs out of cards, tough. After everyone gets one card, the rest are discarded.
Dead characters cannot receive cards for any reason, not even Charity, and cannot level up. Your new character appears when the next player begins his turn, and can help others in combat . . . but you have no cards. On your next turn, start by drawing four cards from each deck, face-down, and playing any legal Race, Class, or Item cards you want to, just as when you started the game. Then take your turn normally.
The FAQ reiterates much of the same information.
Q. Exactly when do you die, and how long do you stay dead?
A. You die when you get Bad Stuff that says you're dead. (A very few other cards can cause Death as well.) If you were fleeing from other monsters, you are excused from their Bad Stuff, because you're dead. While you are dead, you cannot receive cards for any reason, and you cannot level up. You STAY dead only until the next person's turn starts. Your new character appears at that point and may join normally in the combat, though you will get no new cards until someone gives you charity, you get cards as payment for helping in a combat, or your next turn starts. Fortunately, death is temporary . . .
Q. What happens when you die? Do Curses that persist go away?
A. There are a number of Curses that persist, like Tiny Hands, Big Feet, Sex Change, Chicken On Your Head, and so on. Most of these Curses can only be gotten rid of with a Wishing Ring or perhaps some luck. If a Curse persists, its effects transcend death. Remember, your new character looks like the last one. So, if your sex was changed, you are still your new sex (but you very likely died because of combat, so that pesky -5 is gone), you still have Big Feet or Tiny Hands, and if you didn't have Headgear on when you died, that stinking Chicken is going to roost on the head of your new character. Sucks to be cursed, but, well, you knew that . . .