Is it true that a bee only has one sting, and when it stings you, it dies?

Well this is true for some species of bees... the honey bee specifically. The sting breaks their back and often remains left in the skin.

Wasps and hornets can sting multiples times.

Honey Bees have barbed stingers which remain in the victims flesh after the sting causing them to be fatally ripped from the bee's body.

Wasps and hornets have stingers without barbs allowing them to sting multiple times.

I know this sounds crazy, but they say that no question is a stupid question...does the honey bee know that they will die, if they stings, or is this just a natural instinct?

All bees and wasps have barbed stings. But only the honey bee has barbs large enough to prevent withdrawal. When it does try to pull its sting out, the sting normally remains attached to the venom sac and often the stomach--death will occur within an hour. Because the venom sac will continue to pump venom even after it has been detached from the body, the honey bee sting is able to deliver far more venom than the stings of other Hymenopterans, which, of course can only inject while on the victim.
Who knows if the honey bee knows it will die? Perhaps it does, because the reason the H bee has developed such a suicidal characteristics is that when the sting and sac are ripped from the body an alarm scent is released that tells the rest of the hive that danger is near, which will often set the hive abuzz and on the war path. So If you're stung by a H bee, get out of the area as soon as possible.

And as Sherasi and Miles point out, wasps can sting many times over. Hornets, by the way, are simply one species of wasp--not another form of hymenopteran.

I really appreciate all the answers.

Minnesota, you answered another question that I wanted to ask. I had heard that if you kill a bee, that others will come, but I couldn't imagine how the rest of the bees would know. Now I know it's the scent. Thanks all of you.

It is only true for some sorts of bees, other kinds can sting repeatedly.