Hope I know how to do spoiler tags right...
I lean more toward silly comedies, so haven't seen too many deaths. Grave of the Fireflies goes without saying. And in Last Exile, [spoiler]Dio's death tore me up. I hated him at fiirst, and he gradually worked his way into my affections, just in time for his horrific fate among the Guild. And then, after Luceo already died to save him, Dio dies completely pointlessly and needlessly, mistakenly believing he killed his only friend. It was too cruel.[/spoiler]
As for Death Note, [spoiler] after L died, I only followed the manga to see Light get his comeuppance. Grr![/spoiler]