It has long been thought that Tycho Brahe died of a complication to his bladder, when he did not let his urine from politeness at a dinner in Prage 1601, eleven days before his death. However, more recent studies started 1996 from opening the grave of Tycho Brahe and analysing his hair, have showed that it is very likely that Tycho Brahe in fact died from Mercury poisoning.
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Image (original here) from Rundetaarn (see also links), showing the concentration of metals in Tycho's hair measured in 1996.
A detailed account of the last days of Tycho Brahe can be found in the book "Tycho Brahe, the man and his work" (original in latin), by Pierre Gassendi 1654. This book was translated to swedish and commented by Wilhelm Norlind, 1951.
The 13th of October 1601 Tycho Brahes was invides together with a nobleman called
Minckwitz to a supper at Baron von Rosenberg. Before they sat down at the table,
Tycho did not let his water, as he otherwise usually did. During the dinner lots of
wine was consumed, and Tycho noticed that his bladder was tense, and he realised that
he soon would have to get up. Out of respect for the host, he waited however, but
finally he had to get up from the table and get home. But his bladder had
been blocked by waiting to long, and he could not let his water. Hard pains followed
and for five days, he could not sleep. Thereafter he could let out small amounts
of urine, and the patient fell into an uneasy sleep.
He also had a strong fever and dizziness. [...] For another five days this state lasted.
The following night, the last, Tycho was relatively calm, and no bad dreams worried him
during his dizziness.
During his fever fantasies he muttered the words "Ne frustra vixisse videar" over and over (approx. May I not seemed to have lived in vain).
The following day, the 24th of October, the fever dizziness faded, and his conciousness returned. But the sicknes had taken so much of his powers that the end would not last many hours. When he notices his soon coming death, he expressed a wish, that his life's works would honour the lord and gave his sons and his nephew a task to not let anything of it get lost and that they should trust in the help of emperor. [...]
Tycho became 54 years and 10 months, a short time thinking of the age he could have achieved [...] but long taken into account his brilliant scientific achievements, the rumours of which will live, as long as the studies of the stars will fascinate mankind.
Norlind comments that Gassendis sources of information about the Tychos last days and death was from Kepler and Snellius. Norlind comments that the cause of death was probably urine poisoning caused by narrowing the urine path by prostate hypertrofi. He also states that Kepler wrote in one of his books that Tycho Brahe died in the arms of the nobleman Erik Brahe, one of those present at his death bed.