I think a couple of things could happen here, deathwise - please, no flames/criticism, these are my words, my opinions. I am not directing any slightly unpleasant comments towards anyone in particular, I am just writing what I believe will happen/venting against popular beliefs. So, here goes:
1) Zuko could well die. Yes, it's sad, but we all have to realize that even though he was evil and turned good, that doesn't prevent him from dying - in fact, it makes it even more likely. You see villains all the time who have converted and then died trying to save what is the "true good." He's come to terms w/ a lot of the problems in his life, and sees the world as he was meant to, not blinded by his heritage/father's words/etc. I don't honestly care what anyone says, Zuko is one of the three people I believe to be on the chopping block for the finale.
2). Aang is another possibility. Yes, I know, you're all thinking "But it's a childrens'/younger adults' TV show! It's animated! They won't kill off a main character!" Well, wake up. They've referenced a handful of deaths throughout the plotline of the entire series, never shown any. Aang was even briefly dead towards the end of season two (the part where Azula blasted him as he was activating Neo-Avatar mode or whatever you wish to call it). So the producers have proven that they will allow a main character to die, for any length of time. My guess is, he'll die, but someone will use an unbelievably powerful magic to revive him, at the cost of that person's life. The Sun Warriors said that "Fire is life." - stop and think. Fire is life...so, could you revive someone using fire? We don't know. It's definetely a possibility. With that being said, I believe that if Aang dies but defeats the Fire Lord in the process, Zuko will Fire Bend him back to life, but by sacrificing himself. Yeah, that kinda ties into #1...I'm just making sure I get all of my ideas down.
3). Katara could also be a possible vict- "Wait, Lytek! R u retarded? They won't kill off the main char's true love! Ur stupid!"
Shut up and listen, please. This ISN'T Pokemon.
Anyway, this death will follow the same theory as the Aang death, except that when she dies, Aang and Zuko are both possible sacrifices to revive her. Aang has already hurt Katara once with fire, but now that he has the full understanding of it, he'll be able to use the maxim "Fire is life" to it's true potential, and restore her, while giving up himself (then, of course, we'll see a clip of 70 yrs in the future or so where she's old and in a village somewhere, and she sees the Avatar again, but [s]he doesn't remember Katara. Just a thought). Then there's the popular idea that Zuko will die, and why wouldn't he heal Katara so she could be with Aang? He's experienced love, he doesn't want it to be ripped away from his new friends by the hands of his father. So that's my idea there...looking okay, I guess...
4). Sokka. "Wait...that's weird...why Sokka?"
Because Sokka hasn't had a truly major role in the show yet - yes, he's been there the whole time, master planner, jokester, warrior...and he can't bend water...or can he? We've seen no proof that he CAN'T bend, so why should we think that Nickelodeon won't pull a HP 7 (when Ron spoke Parseltongue, even though he had none of Voldemort's soul in him) on us? Why should we leave it out of the realm of possiblity? HE could heal Aang/Katara/maybe even Zuko, with some hidded power that we have, up to this point in time, known nothing about. He hasn't had to do much...he's not the Avatar, he's not a General, he doesn't have powers (that we know about)...maybe this is his destiny.
Ok, he could go two ways - either by doing what I mentioned above in 4), or maybe he blocks the killing blow from Ozai that was meant for Aang. Just thought of that.
Well, that's all I've got...what do you think?