^ A common misconception. Some of them take place in Infinities, some take place in "real" SW; basically it's up to personal preference as to which are considered real or Inf (or up to authors of reference guides when they decide which stories to include).
And there were quite a number of Jedi who survived in the EU, although apparently most believed they were the only ones to survive:
--Callista (in the Eye of Palpatine's computer system)
--Empatojayos Brand (Ganathan system)
--Ikrit (hibernation on Yavin 4 from centuries pre-BBY to 22 ABY)
--Obi-Wan Kenobi (Tatooine)
--Ood Bnar (hibernation on Ossus from 4000 BBY to Dark Empire II)
--Quinlan Vos (maybe?)
--Qu Rahn
--"The Dark Woman" (fifth planet of Cophrigin system)
--Valin "Hal Horn" Halcyon (Corellia)
--Vergere (with Yuuzhan Vong from 29 BBY to NJO)
--Vima-Da-Boda (Nar Shaddaa, Kessel, others)
--Ylenic It'kla (Alderaan)
--Yoda (Dagobah)
Then some survived but were subverted by the Empire:
--Jerec (Dark Jedi)
--Kam Solusar (Dark Jedi, later returned to the light Jedi under Luke Skywalker)
--Roganda Ismaren (Emperor's Hand)
Also, not all the Jedi were wiped out immediately during ROTS. It probably took years to track them all down. Fertile plot fodder for EU and the TV series.