I'm sort of disappointed with this. I was really hoping that Kenny would get to be the hero of the episode, and that he would find out why he can't die.
Uhm… we DID find out. His parents joined the Cthulu cult a decade ago, and every time he dies, his mother gives birth again. They name the new kid Kenny, and he grows up in a single night, with all the memories of the old.
Its basically the same as its always been, this is just the first time we've known that Kenny is also aware of his reincarnations. (Well, he's been afraid of doing dangerous stuff before and shown some indication he's aware of his disposability.)
Should next season be the last, they may follow up further.
Trey and Matt made a statement when the series first started that may no longer be true, that Kenny did something horrible when he was a baby and is cursed to live 1000 deaths.