Well, I'm coming in quite late to this thread, but I do have an answer as to why Neo and Trinity had to die. First of all, if you think in terms of how they finally destroyed the spaceships in Independence Day, you'll remember that they had to bomb it from inside the main source of power for it to have any results at all. That is the same thing here, in order for Mr. Smith to really be destroyed, it had to be from inside the main source of his power -- inside him -- which would affect all that sprung from him... and Neo was the One, the "bomb", to do just that. It was finally revealed to be his prime purpose in the whole of it. Nothing else would have worked. And, in order for that to happen, they would have to become one, and it would have to kill Neo along with Mr. Smith, since Neo was hooked up to the Matrix, which he could not survive in if his mind were to die, as would have to be the consequence of such an explosion. There was no other truly logical way for this to have been done. Had it been done any other way, it would not have made as much sense, or have been as satisfying. Regarding Trinity, as already said in other parts of this thread, she took him as far as she could, and if she were there waiting, it would leave Neo with too much to worry on, making it very difficult, if not impossible, for him to make the necessary decisions and steps he would have to make, since he wouldn't want to leave her. ALSO, with Trinity and Neo both dead in this temporary realm, they would soon come together in the whole of it all, where it really counts: the next world, plane of existence, Heaven, what have you, where they would be united forever. So, in essence, they did end up together in eternity. This is the ultimate lovestory, one with no ending. Their love is one that was meant to last through all time; therefore, it would not, and could not, die simply because their bodies life-force ran out. And if you get one thing from this story, it is that we go much deeper than that of the shell of our bodies. Yet, this could not have happened immediately if one was left behind, making it more of a tragedy... and if Neo didn't do what he did in order to save Zion, they would soon both be dead anyways, since the machines would have destroyed them all, anyhow. This was all very necessary, how it had to happen, and it was brilliantly done. And if you truly understand the story, which might take a few DVD viewings, along with pauses throughout, you just might come to see the true happy ending that came from it all, not only for the people of Zion, but for Neo and Trinity, as well.
Another good point, regarding Neo and Trinity's deaths and the religious overview of it all, can be shown in Disc 5 & 8 of the new 10 disc set of The Matrix Trilogy (explained extensively and very well in a thread in this site by DirectorFitz in "The Ultimate Matrix Collection Review"). A partial excerpt of what is written about these two discs:
Not surprisingly, the philosophers groove on the Christ-like overtones of the last third of Revolutions. Over the end credits, they go into how Trinity and Neo become one with the spirit and their oneness redeemed the world. West closes by noting how every individual digs deep into their soul to find a way to connect with something bigger. Thatís what the major characters in The Matrix saga did and, in a sense, thatís what the rabid fans did, as well. In all, their take on the material is unique and fun to listen to.
Disc eight is called The Roots of the Matrix and it explores the religious and spiritual underpinnings of the world the Wachowskis created.
ok first of all...some of you don't understand the bond that neo and trinity had do you? When she was dying she had to say those words, it was all relivant and flowed with the movie. She said what she had wanted to say to him when she died the first time and he gave her that second chance to say what really matters.