There have been claims that he died in July of 2009, and counterclaims as well. The following is from Wikipedia, current as of July 24, 2009:

On July 22, 2009, National Public Radio reported that U.S. officials believe Saad bin Laden was killed by a CIA strike in Pakistan. A senior U.S. counterterrorism said U.S. spy agencies are "80 to 85 percent" certain that Saad bin Laden is dead. [7][8] According to National Public Radio American security officials are 80 to 85 percent certain Saad bin Laden was killed in a missile strike "sometime this year".

On July 24, 2009, The Hindu reported that senior Taliban spokesmen in Islamabad claimed Saad bin Laden was not killed, or even hurt, during the missile attack.[9] According to The Hindu some of acqaintances had seen him just a few days before reports of his death started circulating.

On January 16, 2009 the United States Treasury Department zeroed-in on four alleged Al-Qaeda operatives with ties to the organization's operations in Iran. The department issued executive order 13224, freezing the men's assets and prohibiting transactions between them and U.S. citizens. The purpose of such an order is to target the operatives as well as those that support them, and forces Iran to publicly accept responsibility for how it is meeting its international obligations regarding Al Qaeda. The four men, including Bin Laden, Muhammad Rab'a al-Sayid al-Bahtiyti, Ali Saleh Husain and Mustafa Hamid]], were allegedly detained by Iranian authorities in 2003, though it is believed Sa'ad bin Laden has been away from the country since at least September of 2008.Google News (AFP): US Treasury Targets Bin Laden Son, Al Qaeda with Iran Ties (January 16, 2009)