Peter Sellers and Spike Milligan
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Yes, Oola was killed by the rancor after being dropped in the pit by Jabba. The only reason they don't show it happening is because they wanted to keep the film PG, so they cut away to show Jabba and his goons laughing while she screamed from below.
There has never been a guest who died during a taping of The Tonight Show however, and you might be thinking of the time, a guest named Jerome Rodale died during The Dick Cavett Show in 1971, although the show never aired.
A quick IMDB search says Rosalind Cash is the only one from the cast of that show that died.
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