Your shrub doesn't look sunburned to me; I suspect you are seeing the results of not enough water. Sunburn would show as light yellow leaves, often with brownish burned areas on the sunny side of the plant.

Healthy rhododendrons will live much longer than we do :) - they don't get tired and stop producing flowers, drop their leaves, due to age. You might consider that the plants sited on your side with more sun require more water than those in shade.

Prune away anything clearly dead (you can do a scratch test with a fingernail and see if there is any life under the bark) with sharp shears and try providing more regular water. The inexpensive oozing type soaker hoses work well - you can turn them on before leaving the house in the morning and turn them off at dinner time - here where our summers are cooler (and soil is clayish) approx once a week for several hours for established shrubs works well but you'd have to adjust that to your own climate.

And, rhododendrons expend a lot of energy setting seed that would otherwise have been directed to flower bud production. You would see more blooms on your larger plant if you had snapped off the spent flower trusses (so no seed was set) when blooming was finished.

Thanks Morz8 for the suggestions and nice tips for pruning. I guess I'll keep up watering them during the dry months. The holes on the leaves, though, are they bitten by bugs or just some kind of disease? Also, if I want to provide some manmade shade during the summer, what type of product should I use?

The insect damage in your photo looks like some type of caterpillar or climbing cutworm - the margins of the eaten areas aren't notched sharply enough for rhododendron weevil. Just one or two critters are enough to cause that much damage with their voracious appetites - best to go out at night after dark with a flashlight, take your oldest pruners along, snip them in half. That's if they are present this year, watch for similar damage to new foliage or new damage.

I was just looking this morning at floating row cover fabric in gardensalive.com, and see they have one that filters 50% sunlight. Also noticed flexible bamboo screening that rolls up for storage when nursery shopping last week, purpose was temp shade, privacy, or hiding something unsightly like bare chain link fencing - that would certainly provide more attractive shade than the fabric. :)

I agree that the dead branches have to be cut out. As to watering a good soaking once a week is better than daily watering. I only water if they show stress. By this I mean that during a hot sunny day the leaves may droop. If they perk up in the evening they are still okay. If they still droop then they are in need of water.