***WARNING!***Will contain a spoler to the Revolutions (third installment of matrix)*****
In a way, neo didnt die, he was the sixth remade program of "the one". The matrix means (i think in latin) "the womb."
The first movie, was supposed to resemble birth (where neo first finds out he has powers)
the second movie, to resemble life (where he kicks a lot of 8ss and uses a lot of his powers)
the third movie, to resemble death and rebirth (where he starts to slack, and after he dies, he is supposedly going to be remade in the future, when the architect takes over again, in which case the next Neo will be the seventh installment of the neo program. In other words, the matrix is never ending and it keeps repeating itself.