The Great Powers are representations of natural concepts that have been around since the very beginning, and as such are indestructible. None of the Great Powers can truly be killed, although it is said that their current incarnation may be destroyed and a replacement may arise in its place.
Each Great Power possesses a magical box that seemingly serves as a form of suicide ---- if he or she grows tired of existence and wishes to "retire" so that someone else may take their place, they can open their box, enter the void and disappear forever. Where they go once they enter the box is anyone's guess. Each box is tailored to the nature of the Great Power who possesses it ---- Hope's box is the Pandoran Jar, the North Wind's box is the Cask of Ancient Winds, Mister Dark's box is the Vault of Primal Darkness, and so on. The boxes are always hidden away in other-worldly places that only their owners can access. While initially hypothesized that the boxes erased their owners from existence once used, that seems to be incorrect now; after the North Wind saved the Fables by pulling himself and Mister Dark into the Cask of Ancient Winds, Frau Totenkinder claimed that the two were entombed inside the box, rather than dead or non-existent.
So far there have only been a few of the Great Powers who have appeared on-panel: namely, the North Wind and his three counterparts, Hope and Mister Dark. Other Great Powers who have been mentioned but have not appeared on-panel include Death, Sorrow, Shadow and the Spirit of the Morning.