In the season 6 finale, "Tears of the Prophets", Gul Dukat let himself be possessed by a Pah-Wraith, who used its godly powers to teleport him to Deep Space Nine in order to access the Bajoran Orb of Contemplation. The Pah-Wraith, in possession of Dukat's body, casually killed Jadzia with some sort of energy blast when it happened to encounter her in the temple where the Orb was being kept (she had been visiting the temple to thank the Prophets for allowing her and Worf to conceive a child together). The Pah-Wraith then proceeded to transfer itself from Dukat into the Orb, after which Dukat commented that he hadn't intended Jadzia any harm.
Out of universe, Jadzia had to be abruptly killed off when the actress chose not to renew her filming contract.
Worf was deeply upset about Jadzia's death; he's simply not a character prone to undisciplined expression of emotions. A complicating factor was the appearance of Ezri Dax, who left Worf confused for a while as to whether Jadzia was even truly dead or not. Rewatch season 7 and you'll see the effects her death had on the crew, especially Worf.