How come people who snore really loud die and don't wake up from the loudness of the snoring?

Some do. Interestingly some due. The major reason, though, is because sleep is actually an unconscious state so our bodies react much less to the environment. Usually a very major noise or change will wake us up unless we are in lighter sleep at the time when this occurs.
They are asleep! In deep sleep, called rem sleep, you are nearly "paralyzed", and tissues of the throat and tongue can block the airway. This is called obstructive sleep apnea. In effect, the sleeper is suffocating. As you can imagine, this can be very stressful on the heart, especially if already compromised by other health issues. Sudden death can occur if too stressed.