I had never heard of "fan death" before today.
Basically there is a belief in S. Korea that if you sleep with a fan on in a closed room, you could die.
It seems this has been propagated by the government there, and they reported in 2006 that "asphyxiation from electric fans and air conditioners" was one of the five main causes of death during the summer.
Here's more:
Fan death - Wikipedia, the free encyclopedia
Here's a news story.
YouTube - Fan Death Claims Another Innocent Life