It doesn't even have to die in a dramatic way (for example because of an uncaught exception caused by a division by zero, as Campbell demonstrates). Other threads will remain running after the main thread ends, unless they are daemon threads. You can make a thread a daemon thread by calling setDaemon(true) on it.
Note the API documentation:
When a Java Virtual Machine starts up, there is usually a single non-daemon thread (which typically calls the method named main of some designated class). The Java Virtual Machine continues to execute threads until either of the following occurs:
The exit method of class Runtime has been called and the security manager has permitted the exit operation to take place.
All threads that are not daemon threads have died, either by returning from the call to the run method or by throwing an exception that propagates beyond the run method.
A JVM doesn't end until all non-daemon* threads have stopped. That means that if you launch another non-daemon thread, and that thread remains alive when the main thread ends, the JVM does not end yet. The Event Dispatcher Thread (EDT) of AWT/Swing is often such a thread. Threads created for java.util.Timer objects are also such threads. And of course, any thread without setDaemon(false) called on them are such threads.
* All daemon threads will end when all non-daemon threads have ended as well. Check out Thread's setDaemon method for more info.