In later episodes of South Park, Kenny stopped dying. Why did South Park stop killing Kenny? Just Wondering.
Quite simply, the creators grew tired of killing him off every episode.
While it was initially fun thinking up new ways for him to die, after several seasons Parker and Stone found it to be incredibly mundane. Coupled with the rising popularity of a newer character, Butters Stotch, the creators were growing very tired of Kenny and thus decided to kill Kenny permanently in season five.
The intention was to keep him dead, but they decided to bring him back at the end of season six, and further decided to not kill him off every episode.
More recently they've hinted that Kenny is immortal because his parents attended several Cthulhu-like cult meetings years earlier.