A massive star will fuse elements in its core until silicon. This is because fusing iron causes a loss in energy due to the binding energy of the iron atoms' nuclei. This iron core builds up until it exceeds the Chandrasekhar limit, which means the mass that the pressure due to gravity is so great atoms break down to just the nuclei, leaving a neutron star. If this neutron star exceeds the Tolman–Oppenheimer–Volkoff limit, this breaks down, so much so that the escape velocity of this mass is greater than the speed of light, and thus you get a black hole. Neutron degenerate matter is not very well understood, so the latter end of this explanation is still a little fuzzy, but basically, a black hole is the result of a big star blowing up.

And if you go into one you die, right? You won't pop up in an alternate universe?

Yes, you die

But, there's a chance ;)