Hanged himself. I believe the first thing I ever read of his was a folio piece in Harper’s entitled Ticket to the Fair (a sort of ethnography of the Illinois State Fair); this was later included in the brilliant collection A Supposedly Fun Thing I’ll Never Do Again. I confess I’ve never read any of his fiction, although I’ve wanted to pick up Infinite Jest for some time now.
At the risk of sounding trite, I do believe that Foster Wallace was a unique voice in American letters; he will be missed.
Read It Or Not 
I found Infinite Jest to be a very rewarding read, but occasionally infuriating as well.