Don't know if I can come up with any new examples, as every movie I was going to mention has already been listed above. So I'll compile them into a list here.
Willow - Finn Razel (and to a lesser extent, the old wizard in the Nelwyn village)
The Karate Kid - Mr Miyagi
The Matrix - Morpheos
The X Men - Professor Xavior (he does die in X3, but transfers his mind into another body. Besides, that movie is so terrible I prefer to ignore its entire existance)
Rocky & Rocky II - Mickey
Rocky III, IV, V, & VI - Tony (Apollo Creed's trainer, manager, & mentor)
Rocky V - Rocky himself
Star Wars Edisode III - Yoda & Obi Wan
Star Wars Episode V - Yoda
The Magnificent Seven - Yul Brenner's character (I forgot his name)
The Mystery Men - The Pheonix
Harry Potter 1 through 5 - Dumbledore
The Lord Of The Rings - Gandalf (well, he died but then came back so . . .)
The Three Musketeers - Athos, Porthos, and Aramus (they mentored the young Dartaneon)
Cruel Intentions - Catherine (she wasn't a very good mentor to Cecile, but she lives)
Teenage Mutant Ninja Turtles - Master Splinter
Red Sonja - Sonja mentors the bratty Prince Tarn
The Beastmaster - Seth mentored Prince Tal
Remo Williams: The Adventure Begins - Chun
The Adventures Of Ford Fairlane Rock & Roll Detective - Ford (he kinda mentors the kid who hired him to find his dad)
Boogey Nights - Burt Reynolds is kind of like a mentor to Mark Wahlberg
That's all I can think of right now. In a way you can scratch Obi Wan and Yoda off the list entirely. They may have died, but their spirits come back to continue mentoring Luke from beyond the grave. So does that even really count as being dead? Well, to paraphrase Obi Wan in Jedi, it all depends on your point of view.