You actually keep your stuff if you have it when you go into limbo and not die. I remember my first experience, though. Sit down, kiddies and adults alike, storytime!
I was wandering around my world, then I saw a graveyard with a DDoor spawned right in the middle of it. I walked in, explored the little fortress-like area I was in, and found no other doors. I did, however see a bit of a glitching entity. I broke a few blocks to get a better look at it. All I saw was a purple eye, which opened and made a sound similar to a nether portal and a skull Kid from Zelda laughing combined, and next thing I knew, everything was black. A minute went by, nothing. I checked my F3 menu, and sure enough, I was rapidly falling. I hit the ground, and heard more of those eerie sounds. I turned around, there was an eye. Right before it opened fully, I turned around, stared at the ground, and ran for a good 30 seconds. I looked up, there were at least 5 eyes staring into my soul. I turned around, there were more. I noticed a red patch on my minimap a good 200 blocks away, so I ran through hordes of these vile eye-creatires until I reached it. I tried breaking it with a pick, nope. Shovel, nope. Sword, nope. I then realized it gave off light. I looked at the small cliff I jumped off to get near it, and I saw them. Horrific black creatures, in the shape of a wall. I saw hundreds flying everywhere. Endermen in the end seemed as miniscule as ants compared to these beasts. I jumped in the red pit, hoping to not catch on fire, but I was relieved. I fell into my world, right near my house. I landed on some cool rare blocks for the harvesting, and I went about my daily business. I will never be the same.
Quite honestly, this scared the shizzle wizzle out of me. I felt worse than someone playing Slender. Let this be a warning to everyone. Be it endermen or random floaty things, don't look at random eyes.