Ok, for the lore behind Xenagos the Reveler. He was a happy go lucky goat man person before becoming a planeswalker. He was originally from the world of Theros. Theros is ruled by MTG's equivalent to the Greek gods. Xenagos left Theros in the hope to find more parties more excitement in the worship of his gods. While visiting the other planes, he found that the gods were no where to be found. His entire world view shattered. He vowed Vengeance on the gods of Theros for their claiming to rule over him and the denizens of the world. He returned to Theros and acended into the realm of the gods becoming a god himself. This naturally through the entire world into chaos. The Sun god Heliod, god of white mana, called upon Elspeth to champion him and fight Xenagos. Elspeth succeeded at killing Xenagos in the realm of Nyx which is the home of the gods. 

I would love to see Xenagos return as a planeswalker, however he did die in Nyx. From what Heliod told Adjani when Elspeth was dying, if one dies in nyx they would fade into Nothing. Elspeth died on Theros and Theros has an actual underworld, so she may return. Maybe.

Sakhan Vol I believe is back. I do not recall him dying through. I admit I have not followed him as closely as others. He, I believe, has left the service of Nicol Bolas in order to hunt down a voice in his head. The Voice happened to be the dead echos of the dragon Ugin.