Bane was killed by his apprentice, Darth Zannah in 988BBY on the planet Ambria. She used a mixture of lightsaber skills (though she lost her weapon to Bane before his ultimate defeat), Dark Side force tendrils and some kind of mind-fogging power on him.
At the moment of his death, he transcended physical form and attempted to seize control of her body but her force powers were too strong and he simply dissipated.
The event is described (in some considerable detail) in Darth Bane : Dynasty of Evil
From a safe distance, the Iktotchi had watched the two figures [Darth Bane and Darth Zannah] from
her dreams wage battle. She was an impartial observer, having no
preference as to which one would emerge victorious. She only wanted to
serve whoever proved the stronger.
The conflict had been brief but intense: she had marveled at the speed
of their blades, their movements so fast she could barely follow the
action. She had felt the awesome power of the Force unleashed through
bursts of lightning and the sinister tendrils that crawled up from the
ground. She shivered in anticipation with the knowledge that she, too,
could one day learn to wield such power.
She had seen Bane knock the woman to the ground and slap her weapon
away, only to have his arm hewn off by the touch of one of the black
tentacles. And then there had been a flash so bright she had been
forced to close her eyes and look away.
When she looked back Bane was gone, his body reduced to a pile of ash.
The blond woman still lay on the ground, dazed but alive. The deadly
tendrils were nowhere to be seen.
Cautiously she approached the scene. Bane's severed arm lay on the
ground, but the rest of his body had been consumed by the crimson
flare. In the instant before she had looked away, however, she had
Responding to internet rumours of Bane's survival, the author wrote an FAQ for his website;
I thought it was pretty clear in my writing. I wrote the scene from
Cognus’s point of view to keep you guessing to the last instant, but
when Zannah proclaims “Darth Bane is gone. I am Darth Zannah, Dark
Lord of the Sith and your new Master,” I thought it would be pretty
The whole thing with Zannah’s hand twitching was only to show
that some part of Bane had passed through to her. How much – was he
still “alive” in some way, or is it just a small part of his identity
imprinted on her – was supposed to be the ambiguous part. But I never
wanted people to assume Bane had taken over Zannah’s body
Note that as the whole of this story is found in an EU "Legend" novel, none of these events are considered to be part of the accepted Star Wars canon.