Loki's illusions evaporate when touched.
That means that Loki really was impaled. Aside from the fact that the guy who impaled him wouldn't be playing along with the illusion regardless, Thor picked up Loki right after Loki was impaled and thus the Loki who got impaled was not illusionary.
As a minor aside, my first reaction to Frigga being impaled was that the gods who burst onto the scene moments later should have spent less time doing slow-motion grief-stricken reaction shots and more time checking to see if she might not, in fact, be dead yet and might, possibly, be saved.
This was reinforced by the fact that Loki was impaled on a blunt object and survived, while Frigga was impaled via a sharp object (a sword) and thus presumably had far less damage done to her internal organs.
My primary objection is not that Frigga died, one can easily assume that it was a magic sword OF DEATH, but that no one bothered to check that she was dead and thus it seems possible, even likely, that she died not from the wound but from failing to get proper medical care afterward because the people who should have been saving her were too concerned with looking all distraught over her death to notice that she wasn't dead yet.
But one of my secondary objections is that Frigga died. (And thus ends the aside.) It wasn't a bad death. She's the only one who managed to pull one over on the poorly sketched out main villain OF DOOM. Even Thor and Loki working together didn't pull that off and instead gave the villain exactly what he wanted and left the salvation of the universe in the hands of two interns and Erik. Leaving the salvation of the universe to Erik isn't a bad thing, but his recovery from being brain-scrambled was incomplete and he was recently arrested for running around Stonehenge naked.
Plus, Loki got impaled.
So Frigga does shine through as probably the most impressive god in the movie. She dies for it, but she singlehandedly does something that the other assorted divinities of the universe were unable to do. She faces off against [what are my motivations again?] and succeeds in her goal without needing help from SCIENCE! and MAGIC! and Loki-Jane-Erik-Darcy-The Warriors Three-Sif-Heimdal-Darcy's Sidekick-Stuff-Luck-So Forth.
But she still dies. And that's annoying.
Which brings us back to Loki getting impaled.
When Loki appeared to die after getting impaled, and thus before I saw the ending of the movie, I decided that the only way I liked that particular development was if it turned out to be a set up for Loki showing up latter with Frigga at his side and explaining that he had to die, because how else would he get to the afterlife to rescue mom?
(Remember, in Marvel Frigga is Loki's adoptive mother not his blood-sister-in-law.)
At this point in the story Frigga is the only person in the entire universe that Loki still gives a damn about. Other continuities establish that in Marvel Loki is still the father of Hel, so one wonders how difficult it really would be for Loki to spring someone from the afterlife ("Let your grandmother go," Loki says to his daughter) but even if we assume that he does not have familial relations with the ruler of the afterlife in Cinematic Marvel, if anyone can take a trip to the afterlife, rescue the person he wants rescued, and walk out with guards' wallets and social security numbers, that person is Loki.
In fact, Loki's adventure in the afterlife saving his mom would be in a cool movie in itself and, since Frigga is Frigga, he probably would only have to get half way to his destination before he'd bump into her already on her way out. After that they'd team up, and it would be interesting to see Loki working alongside someone who was his equal or, more likely in this case, better.