Feänor - the only Elf to spontaneously combust
He was killed by Gothmog and his body was consumed by flame
Maedhros - cast himself into a volcano
Maglor - no death reported.
Celegorm - Slain by Dior at the assult of Menegroth
Caranthir - slain at the assult of Menegroth
Curufin - slain at the assult of Menegroth
Amrod - Died in the battle at the Mouth of Sirion against the people of Earendil and Elwing while they tried to take the Silmaril
Amras - Died in the battle at the Mouth of Sirion against the people of Earendil and Elwing while they tried to take the Silmaril