Damn it. After 35 hours of gameplay Lydia has finally died. At level 20 I am definitely going to miss her.
*Possible spoiler* aka: how to add a couple awesome companions that never die.
When you get to the quest: Alduins Wall, after you complete the first two objectives (there are only three) go find Esbern and Delphine. They will follow you anywhere you go as long as you never go to the last objective at Sky Haven Temple. They are awesome and never die. With Lydia, RIP, Esbern, Delphine, my dog and horse, we made a serious team.