I didn't learn about this till a few years ago, but apparently they didn't die right away. Makes it even more sobering:
The flight, and the astronauts’ lives, did not end at that point, 73 seconds after launch. After Challenger was torn apart, the pieces continued upward from their own momentum, reaching a peak altitude of 65,000 feet before arching back down into the water. The cabin hit the surface 2 minutes and 45 seconds after breakup, and all investigations indicate the crew was still alive until then.
What's less clear is whether they were conscious. If the cabin depressurized (as seems likely), the crew would have had difficulty breathing. In the words of the final report by fellow astronauts, the crew “possibly but not certainly lost consciousness,” even though a few of the emergency air bottles (designed for escape from a smoking vehicle on the ground) had been activated.