On Internet forums, I have seen plenty of postings that said, “A bike helmet saved my life!”
That is just anecdotal evidence, of course. The poster doesn't really know that, but he had a big scare, and his helmet broke, so he figured that it saved his noggin.
But anecdotal evidence, of course, can only show that something is not impossible. It does not mean that it is probable, or even that the conclusion drawn from the incident is correct. (For example, my great-grandfather smoked all his adult life, and lived to be 87 — that doesn't prove that smoking is harmless.) A polystyrene cycle helmet without a hard shell is designed to take a single direct impact at no more than 20 km/h. It is not magic.
Since many people find anecdotes more convincing than math and statistics (even though this is the only really sound way to make decisions on such a matter), I have searched the Web to provide a collection of links to pages about cyclists who died with their helmets on.
The starting point was a Google search. I searched for the words “cyclist” and “killed”, and the phrase “was wearing a helmet.” I got over 11,000 hits. This does not mean that there were 11,000 deaths of cyclists with helmets. Cycling is very safe, and it would take several years for this many deaths to occur in the English-speaking countries where the web pages were found. Stories about the same person were found in several places. Many stories were about motorcyclists. Sometimes there would be the phrase, “neither was wearing a helmet.” But by perusing the first 300 hits, I produced the first 57 entries in this list. Other accounts were sent to me by persons interested in this topic. The others come from Google news alerts unless otherwise noted.
Note that not all of these people were blameless. Some were riding unsafely and/or illegally. Some suffered injuries that were not to the head, or other injuries in addition to head injuries. But in all cases, bicycle helmets did not save their lives.
You may have to scroll down a lot on some of these pages to find the relevant item.
Ride safely. And remember that severe bike accidents are quite rare, and bike deaths are even rarer. In Canada, an average of 74 people die in cycling accidents, an average of about 2 per million per year. To put that in context, there are 392 deaths annually for pedestrians, 116 from falling out of bed, 307 from falling on stairs, and 2650 from falls of all kinds. [source: Statistics Canada's reports on external causes of morbidity and mortality, 2000--2011].)