In the last episode of Loki, "The Nexus Event," everyone's favorite time-displaced God of Mischief, in defiance of the Time-Keepers, said that he's "lost track of the number of times I've been killed."
So, why not help Loki count the ways he's died so far—including all the times it was a fakeout.
Loki wasn't killed in his first apparent death when, during Thor's climax, he falls from Asgard's shattered Rainbow Bridge and into the depths of space.
In Thor, after his oaf of a brother is banished by their father, Odin, Loki quickly learns that he was adopted. When Odin is confronted by Loki's many questions about the circumstances in which he was taken and raised, Odin bails from his line of questioning by going into the Odinsleep like any good and loving father.
Once crowned the King of Asgard in his place, Loki concocts a plan to impress his adopted father by committing planetary genocide against the Frost Giants on Jotunheim using the Rainbow Bridge. After Thor thwarts Loki's familial bonding plans with Odin, he's left dangling off the bridge with only his grip on Odin's spear, Gungnir, separating him from being sucked into a black hole and confronting the disappointment of the only father he's ever known.
So, obviously, Loki chooses the black hole.
It's unknown whether Loki knew for certain that the black hole wouldn't kill him, but Thor and everyone else in Asgard certainly thought he was dead. At least, until he reappeared on Midgard with an army of Chitauri.
THOR: THE DARK WORLD (2013)
After another failed genocide on Midgard, Loki is in Asgardian custody at the beginning of Thor: The Dark World and at the mercy of Odin. The King of Asgard would have had him executed for his crimes, but Loki's mother, Frigga, saved him.
Instead, he would rot in an Asgardian prison for the rest of his life, forbidden from ever seeing his mother again. As the Dark Elves make their move on Asgard, as explained by Owen Wilson's Mobius in Loki, the adopted son of Odin believes he's sending Kursed after his terrible father, but instead sends him to Frigga, indirectly causing her death.
After Loki is broken out of prison by Thor to help him cure Jane Foster and destroy the Aether, he is mortally wounded by Kursed. As he lay dying in his brother's arms, Loki told Thor that he didn't do it for Odin before he took his last breath.
By far Loki's most melodramatic performance that he loved so much, he made it the climax to a play he presumably wrote and produced himself on Asgard while he masqueraded as Odin in Thor: Ragnarok.
AVENGERS: INFINITY WAR (2018)
The only legitimate death that Loki has suffered was at the literal hand of Thanos, The Mad Titan, in the prologue for Avengers: Infinity War when he snapped his neck with his bare hand.
Thanos even punctuated the death by saying that there'd be "no more resurrections." This was likely something more for the audience's benefit, who have already seen Loki cheat death twice at this point.
So, as Loki lay dead on the ground, Thor wept over the death of his brother as the ship exploded in purple fire, marking the end of this Loki's story.
While Loki may have died in Infinity War, another Variant of him didn't when he escaped with the Tesseract in Avengers: Endgame. However, this new Variant of Loki is quickly captured by the TVA and eventually sees how his life would have played out if he had stayed on his intended path.
Once Loki discovers the truth about the TVA and the lies it has told its agents, including Owen Wilson's Mobius, things quickly spiral out of control with Mobius being pruned right in front of him and brought before the Time-Keepers themselves.
After subduing all the TVA agents and Gugu Mbatha-Raw's Renslayer, Loki attempts to have a heart-to-heart with Sophia Di Martino's Sylvie before abruptly being pruned by the TVA judge.
This death proves to be another unsurprising fake-out that leaves Loki in the presence of four other Lokis, who have presumably died as many times as he has at this point.
Tom Hiddleston's original Loki died a total of three times with his Variant counterpart dying only twice so far. So, it actually makes Loki's retort to the Time-Keepers not make much sense since he was only killed once at that point. But, no, wait, as previously established, he didn't even get killed in Thor either.
Perhaps Loki had faked being killed before on Asgard as a prank, such as cutting Sif's hair, but one would imagine that would likely be mentioned by Thor in Ragnarok or The Avengers. Maybe this Variant Loki considers all the deaths he witnessed in the Time Theater to be his own. It could also be the writers speaking through Loki to the audience about his many deaths—fake or not.
An alternative explanation is that Loki Laufeyson, the God of Mischief, sucks at counting, but he could actually end up losing track if he ends up being killed more in the next two episodes of Loki.