Neo did die, like evryone has said, there is no reason for him to live, he did his job. Trinity's dead, end of story. That was the Matrix at the end of the film. The Oracle and The Creator dude are just programs. Programs which has no use, are deleted, or erased. That french bastard's name is Merovigan, for those who didn't remember. The fighting scenes were unbelievable..a great movie indeed.
One more thing, that spike headed machine is the real creator and command of the Matrix and the real world. As you can see, those octopus things obey the big machine, that creator is just ONE of that huge machine's programs. That big machine could not beat Smith, so he made a deal with Neo that he would save Zion if Neo beat Smith. Smith is a virus in the matrix, which is why he could duplicate himself. He is Neo's negative, Neo is positive, thats why both died.
If Matrix means "birth" in Latin, than there is a "new Birth" of the one every century.