Text (4th+errata): 2/1. ; When ~this~ is put into a graveyard from the battlefield, exile ~this~. [Oracle 2009/07/08]
The Mummy does go to the graveyard and trigger abilities (such as Soul Net) which watch for something going to the graveyard. It then leaves the game as a triggered ability. [bethmo 1994/06/22]
It does not leave the game if it goes to the graveyard from someplace other than "in play". This includes discarding from your hand or if the spell is countered. [bethmo 1994/06/27]
Extended tournaments (see Rule 913) have banned this card since 1999/10/01.
Note - This card was creature type "Mummy" until Oracle 2007/10/01, when it became "Zombie".