OK, I just finished the Winterhold task of saving it from the Magic Anomalies. Lydia is standing in front of me, when all of a sudden she vanishes into an ash pile. As the action had stopped, I wasn't even armed, so i couldn't have done anything. Poor Lydia, spontaneous combustion got her.

Did you use a raise dead spell?

OR she died in the combat, you didn't notice, and then one of the college mages that is with you cast raise undead on her. If I remember right the master of conjuration goes to the town with you, he is more than capable of bringing her back.

Then his spell wears off... and she vanishes.

During one of the thieves guild quests I had to get past a guard named Void or Vold or something. I tried pickpocketing him from the behind a garden gate but failed. After becoming alerted to my presence he suddenly started emitting a reddish aura. A few moments later he dropped dead. This was quite surprising as I had learnt no spells beyond the ones initially given to you and we were alone in the alley.

I guess that is possible. I didn't use any spell. i was too busy trying to survive myself. I was actually a good distance away from her the whole time. I guess I didn't think that one of the mages would have done that.