I have found that when you are searching for death information via the Social Security Death Index, you sometimes might have to visit a couple of different sites to find what you need. For instance, one website provides more information than the others (GenealogyBank.com), but other websites will provide better search results if you have limited information (FamilySearch.org). So, here's Jirene's list of websites for conducting your Social Security Death Index searches (all are free):
GenealogyBank.com - SSDI webpage. They also advertise weekly updates.
FamilySearch.org - SSDI webpage
Ancestry.com - SSDI webpage
Rootsweb.com - SSDI webpage
Pilot.FamilySearch.org - SSDI webpage
NOTE: Though Ancestry.com now hosts Rootsweb.com, conducting a search from the Rootsweb.com site still produces a different search results page that may be helpful to your research.
March 8, 2010 update: While assisting a patron at the Phoenix Family History Library on Saturday, I realized I should add one more tip for this page which I thought was a "given," but to some this is not always a given: When researching women's death dates using the SSDI, use their married name (not their maiden name)!