The title has several layers of meaning. The most blatantly obvious one is that it refers to Willy Loman's actual physical death – unfortunately by suicide. So, yeah, Willy is a salesman, and he dies. That one is pretty clear.
Of course, this is Arthur Miller we're talking about here, so we're pretty sure the title goes deeper. It also refers to Willy's idealized way of dying; he wants a massive funeral with everyone weeping and beating their chests and so forth. Willy models this dream funeral on the service held for an old salesman named Dave Singleman.
Singleman's funeral is in fact part of what inspired Willy to become a salesman in the first place. Willy says that it was huge and well attended, making it totally obvious to all that Singleman was successful and well liked. In some ways, Willy seems to measure the worth of a man by size of his… umm… funeral.
Unfortunately for Willy, his funeral is nothing like the way he describes Singleman's. Hardly anybody comes at all. We hope the ghost of Willy wasn't around to watch it, because he would be totally bummed out. By Willy's own standards, his funeral shows that he wasn't very successful and wasn't particularly liked. The gap (or massive chasm) between how Willy dreams that his death will be received and how it actually goes down makes this title sadly ironic.
The title also refers to the death of Willy's salesman dream – the dream to be financially successful and a father to hotshot sons. By the end of the play, Willy is flat broke and without a job. It's pretty clear that his dream of being a big-time salesman is already dead.
Willy hopes, though, that by killing himself he can leave some legacy to his son Biff in the form of life insurance money. This would give Biff a chance to succeed in the business world. Perhaps, with Willy's death a new salesman will be born.
Actually, nope, that doesn't happen at all.
In the funeral scene, it's more than clear that all Willy's dreams are deader than dead. Biff has no interest in following in his father's footsteps. Also, it's painfully obvious to everybody that Willy committed suicide, meaning that there will be no life insurance money coming to his family. In the end, Willy's salesman dream is dead, dead, dead.
On a larger level, the title could be taking yet another swipe at capitalism and the American Dream. Willy, being a salesman, in many ways represents American commercialism. The fact that he gets chewed up and spit out by the system may be a comment on the soullessness of the system itself. Instead of calling the play Death of a Salesman, you could call it Death of Capitalism, or Death of the American Dream. Hmm, those titles aren't quite as subtle and cool as Miller's are they? We guess we'll leave the whole writing great works of literature thing to him.