A what point does the 'dream' occur?
I'm in agreement that what we witnessed was entirely a dream of Henry's and that he does, indeed, die. However, based strictly on what was shown in the movie, there's no way the "dream" could have occurred until right when he was loaded into the ambulance. This is due to Garofalo's character not revealing herself as Elizabeth Levy until this point, at which time Henry "overheard" her saying this to the cops. She also repeats her "I didn't touch him, I know you're not supposed to move them" line as well.
The movie then immediately cuts to Henry's eyes. The eyes, which by the way, are NOT different colors; both irises are blue but one is bloodshot while the other isn't. They're also both dilated indicating death. Also, it shows an upside-down picture of the Brooklyn Bridge archway..i'm not sure what significance that has, can someone shed some light on this image?
So, I think the entire "dream" sequence happens at the point in which we see Henry's eyes, right before he's loaded into the ambulance, and not before when he's actually dying on the street in Sam and Lila's arms. And thus, in the "dream" when he kills himself, he doesn't "wake" up and proceed to die, but rather his brain dies immediately and that's officially the end of his existence [as a human].