The Memorial is a screen accessible through the Barracks Tab which has a list all your deceased soldiers so far in your current campaign.
The main column feature the soldier's name, rank symbol, and a their nickname if they had one. It also features the name of the Mission they died on and when they died. Expect most of them to be Rookies, or Veterans who die because of lucky shots.
As of Enemy Within, a "How They Died" column has been added with the structure of "Weapon" ("Alien Name")