Why Do We Die Of Electric Shock?

Many times because the current passes thru the heart and interferes with the normal electrical impulses by which the heart operates.
In many cases, where the current travels thru the right side of the body, it may not be fatal.  But if a shock is to the right side of the body and the left arm completes a better circuit to ground for the electricity, the charge may still pass thru (or very close to the heart) and be fatal.
It is also possibility that the amperage is so high that vital organs are essentially cooked by the electricity and death is immediate.  Normally where the current exits the body, it can pratically blow a hole or destroy a limb.
It is also very important to realize that small voltage can cause death when conditions are just right (usually wet conditions) and/or it passes thru or near the heart.  No shocks are safe, except maybe atmospheric static charges encountered in cars and homes.  Of course, if leaking gases are around, the spark could cause a dangerous explosion.  And static from cell phones and the way the nozzle is handled can cause static explosions at gas pumps.  If you are filling a container from the gas nozzle, the container should be placed on the ground to help discharge any static.