User blog comment:Ninjana/Sensei Wu: Undead or Alive?/@comment-5287114-20121218225540

It seems everyone else beat me to this topic, but I'd like to point out that Garmadon and the pirates aren't technically undead, either (at least, as far as I can tell). The former was simply  banished into the Underworld after his battle with Sensei Wu (although the skeletal appearance could imply that he's not "alive" in the technical sense anymore), and the pirates were fully alive after the Mega Weapon revived them.

But more to the point, Sensei Wu never really died at any point in the series. He had some close calls (the battle against Samukai, getting eaten by the Great Devourer, etc.), but all of the indications point to him still living through everything. As SaltNPepper said, the trip to the Underworld was likely due to the Fire Temple's proximity to the realm of the dead - and Sensei Wu, being the learned old man that he is, would likely know that.