I normally load them up with junk, cast Dread Thrall and have them fight with me for a while longer. Then I bring them to my house and kill them to add to my collection of memorable dead NPCs.

Both Sven and Anekke died fighting for the Stormcloaks by my side during the fort battles. I took them outside somewhere by the water and left their helmet and their sword next to them as a sign of respect.