The deleted scene with Cap in the Avengers permanently puts to rest this whole "Peggy: alive or dead?" argument.
DCMarvelFreshman posted it over at The Site Which Cannot Be Linked Here, so check it out over there, if you haven't seen it yet....god knows it should never, never, NEVER have been left on the cutting room floor. (Terrible call to cut that scene, Joss. Kevin. Whoever.)
Anyway, the scene shows that: