How is she killed? Stannis's army finds her hanging from a rope in the woods. It's presumed that she's so overcome with guilt and sadness over Shireen's death that she takes her own life.
Is she definitely dead? Oh, yeah.
Level of devastation: Three. Selyse essentially digs her own grave by allowing her daughter to be burned at the stake, but she does attempt to stop the execution at the end. Her unexpected show of emotion makes her own death just a bit more upsetting.