Death rays will instant kill you if they hit you and you don't have resistance. They can be dodged like normal bolts if you have alertness skill or high speed. If you do have resistance and you get hit, they will hit you for about 200 damage, which is still pretty nasty. Death rays can only be cast in straight lines, so if you stay at off-diagonals and use missiles, you can avoid them that way as well (not always easy since most monsters that use death ray can also confuse you).
There are only a handful of monsters that use death rays. The oracle in the HMV is probably the first one you're likely to come across (she is worth killing because her corpse gives +6 Le, but it also cursedooms which you have to be prepared for). A few of the endgame bosses use them, as do a couple of dangerous high level monsters such as Emperor Liches and Ki-rins. Fortunately, these sorts of random monsters are very rare and only appear very late in the game, so it's normally only the bosses you need to worry about.
[edit]I think yellow clothes are regular clothes with lightning resistance built in.
Hoping to win with every class, doomed. Archer, Barbarian, Bard, Beastfighter, Druid, Elementalist, Farmer, Fighter, Monk, and ULE Priest down.