How is he killed? Members of his Night's Watch trick him into coming outside unguarded, where he finds the word "traitor" written, and his men turn on him one by one, stabbing him in the stomach. Olly is the last one, and even he appears to be incredibly upset before plunging his blade into Jon.
Is he definitely dead? Though there are theories that he may come back to life, Jon is dead for all intents and purposes right now.
Level of devastation: 10. This is the worst thing that's happened since the Red Wedding. Jon Snow is the saddest, sexiest guy in the Seven Kingdoms, and we're not even sure we buy his death, considering he seems to be actively promoting season six. Still, this is basically Ned Stark's beheading plus Robb Stark's murder times two.