This is just breaking so no source right now other thant they just reported it on Fox & Friends Weekend... Oddly doing a quick news search right now, the first article I see is entitled:

Milosevic Almost Out Of Time

I doubt the author, when writing it yesterday, realized how right he was. The article was actually about Milosevic's time left to defend himself in his trial:

Former Yugoslav president Slobodan Milosevic has around 40 hours of court time left in which to finish presenting his defence case, an internal court memo published this week suggests.

Anyway, I'm sure we'll hear more about this as the day rolls on.

UPDATE:

BBC:

Former Yugoslav President Slobodan Milosevic has died in The Hague, Belgrade B-92 radio reports.

There is no confirmation of this.

Mr Milosevic, 64, has been on trial at the UN war crimes tribunal for genocide and other war crimes.

UPDATE

Fox News just reported that the UN has confirmed the death.