In the main world, your items and XP are kept in a gravestone when you die. Your death message gives the coordinates, and a marker shows the grave's distance while you're in the same world.

Graves are not placed exactly where you die. They are placed at the last safe position you were at before dying: for example, if you die in a lava ocean in the Nether, it will be on the shore where you fell into the lava from. Likewise, if you fall off a cliff and die from the fall, it won't be at the bottom of the cliff, but the spot where you fell from. This means you can always recover your items, even if you died in a dangerous or inaccessible spot.

If you died in an area where graves are enabled (places with KeepInventory, like Dungeons and Spawn, won't create graves) you can teleport someplace near it with /deathos. This won't take you to where you died, exactly - it will take you somewhere safe close to where you were before dying, typically 10-40 blocks away from your grave. You are teleported facing the direction of the grave, so the waypoint should show up on your screen right away. If it doesn't, you can try walking in that direction until it appears.

Your grave is available to you immediately, and only you can see the death waypoint, so you have an edge over other players in finding it. Right-click it to recover your items and experience. If your inventory is full, the items that do not fit stay in the grave; make space and try again.

Other players cannot take items from your grave for five hours. After the protection ends, anyone can pick up what remains. A common technique employed by raiders and PvP'ers is to encase a dead player's grave in obsidian and guard the grave until the timer expires. If this happens to you, your best bet is to gear up again, and call over some friends to help you take back your items.