I am on chapter 3 and I have noticed when my unit died it spoke as if he was simply returning to base to recover rather than giving a final farewell before death. I am guessing the early chapters are a grace period and i am going to get these units back later?

Nope, they're dead. The really important characters don't actually "die" because they have to show up in cutscenes but you can't use them in battle ever again. I'm guessing it was Lissa who died. Always keep her paired up with someone who can defend her, which in these early missions is Frederick.

@tjk: There is a difficulty setting when you start the file that affects that. If it's set to "Classic", characters are dead forever when their HP hits zero. If it's set to "Casual", when their HP hits zero they just fall back from the battlefield and recover, and can never really die.

I don't think the stage of the game affects it. If they're coming back now, they'll probably keep coming back. Maybe double check the save file. Are you sure the characters definitely return to your roster? Granted, when they hit zero HP on "Classic", they make it pretty clear that they're dying, so if you're saying that they imply they're returning to base, it sounds like they're not dying.

The one exception is that even on "Classic", if certain story characters hit zero HP, they don't "die" because they're in too many story cutscenes; instead they're just wounded enough that they can't battle ever again, but can still appear in cutscenes (functionally, they're no longer units you can ever deploy or level up or anything). I think only a few story-critical characters have this special property.

@corevi: ohhh ic. Can I still have the sort of dead character romance a live character. I know thats a big deal in this game

No because affinity goes up by having the two characters fight side by side.

gotcha. thanks