You can always 'jump' the fuel pump relay to listen to it too. It's odd that it died when you ran out of fuel. It could be you sucked up some gunk and spit it into the fuel filter, clogging it too, and perhaps the additional back pressure required more current. Bad connections would then fail when they'd otherwise worked.
You might want to hit all the connections at the pump with emery paper (or sand paper) to clean them up.