Were cosmonauts killed in space? Nyet.
The Straight Dope recently debunked the theory which asks : Are there really "Lost Cosmonauts" stranded in space?
I'd already heard of the website Lost Cosmonauts. It's interesting, but it proves nothing. I don't know Russian, but after hearing the website's audio files, I became very skeptical as all the alleged dying cosmonauts seem very calm despite what is allegedly supposed to be going on.
But, you may be interested in reading how this theory could come about. And, as Cecil notes, the Soviets were always reticent about the accidents that did happen in their space program, so it's not like the theory is completely off base.