This happens to me
amazingly frequently. It's like I have an internal compass that is specifically attuned to "He/She Who is Most Likely Not to Make It to the End".
As such, I could probably fill up an entire thread's worth of space (assuming that was a finite concept) on my own, so I'll limit it to the first few that came to mind:
Enzai
In the spirit of Lemmasoft, I thought I'd kick off this list with an actual VN. xD
Belbet. He is literally the ONLY character that dies no matter what you do. What makes his death particularly sad is the fact that it kind of comes out of left field. You're basically going about your daily prison life activities, trying to figure out how you're going to prove your innocence as usual, when BAM! Rumors begin circulating that Belbet was killed while trying to escape. As in OFF-SCREEN! I didn't even get to say goodbye. : (
You really aren't even given that much information about him, if I recall correctly. The only solace I can take is in the fact that, for whatever reason, they don't kill him in the anime. That's also basically the only solace I can take in the anime. xDD;;
Gemma Doyle Trilogy
Kartik. I wonder how many -- if any -- of you have actually read this? That's a discussion for another day, though. : P
I spent the entire series rooting for Gemma and Kartik to get together. Their entire non-relationship was very Romeo and Juliet-esque, except minus the part where they both spurn what their families/society thinks and run off together. In the last book, Kartik turns into a tree...I'm pretty sure that counts as a fate worse than death. The sad thing is, I didn't really even think that the ending was particularly fantastic when compared to the rest of the series. That could perhaps have made Kartik's death more bittersweet rather than flat-out depressing.
Harry Potter Series
I don't know whether to congratulate J.K. Rowling on her braveness or (figuratively) pummel her for ripping my heart out so often. I thought it was a bit of a cop out that none of the trio died as I suspected one of them would, but tons of other people certainly did. Sirius, who I was convinced for the longest would come back. Dumbledore, whose death -- particularly the circumstances -- was probably the most shocking I've ever read. 3/4 of the remaining cast in Deathly Hallows...and, here's where we get to my actual favorite: Severus Snape. I cried when he died, and again when I watched the movie. I had honestly considered the possibility that he would die in the last book, but I was CONVINCED that it would be in a blaze of glory. Instead, he was killed in a ridiculous floating force field by a SNAKE! This was made even more BS in the movie, because Voldie didn't even have to decency to contain Severus that time around. I honestly don't think it would have gone the same if Severus wasn't literally trapped. We did get to learn a bit more about Severus' past after that scene, but that's hardly a consolation! Besides, everything that we learned was depressing. :'(
Merlin (BBC)
Lancelot. Admittedly, I'm a bit biased toward him because I was enjoying the undeniable ho-yay surrounding him and Merlin. But, Lancelot was a legitimately enjoyable character on his own. He was the only major character -- aside from Gaius -- who Merlin was able to candidly discuss magic around. He encouraged it, actually. Didn't display the slightest bit of prejudice, even immediately after he found out. He was an excellent fighter. Brave. Chivalrous. Attractive...Not that it would have made any difference if he wasn't, but I can't deny that I appreciated the eye candy. Anywho, even his death was a great self-sacrifice. It was actually fairly unexpected, because Lancelot doesn't die until after Arthur in the actual legend.
The two runner-ups are Gwaine and Arthur himself. Gwaine was an early favorite character of mine; prior to joining the knights, where I feel his appeal wore off a bit, he was the sort of character that brightened up every episode he appeared in. Even though I didn't favor him as much toward the end, his death was made sad by how distraught his best friend was. It was also made slashy. As for Arthur, I never really cared much for him. He was always a douche to Merlin, though he did actually redeem himself a bit in the last season. I knew he was going to die the entire time, but the way it was set up in the episode you kind of thought he might actually live somehow. Merlin was a wreck when he died. As much as I loved Lancelot and as shocked by his death as I undoubtedly was, Arthur's was the one that actually made me cry. And did I mention the slash? Seriously, guys: that last episode was ridiculously slashable.
Homestuck
This "comic" is practically known for killing off as many characters as possible. Some characters were already dead by the time they were even introduced. ._.;
Most characters don't actually stay gone once they die, though, so it's not that big of a deal. HOWEVER, and I shouldn't even be surprised by this, two of my favorite characters die for good (at least for now). I'm referring to Bro and Eridan. We'll start with Bro. The funny thing about Bro is that I'm not entirely certain I was all that attached to him until I started reading fanfiction. He was awesome, yes, but you weren't told much about him, he was hardly ever around, and he didn't even have any lines. I was entertained by the few interactions he was shown to have with Dave, though, and his interests made him out as weird enough to be just my type of awesome. Not to mention he was kick** with a sword. You don't see him again at all once he dies, though some consolation does come in the form of Dirk.
As for Eridan, you technically do see him again a couple of times after he dies. But, it's not really the same. Funnily enough, I hated this guy when he first showed up. Then I decided he was hilarious.
AR was another favorite of mine. He didn't "die" as such, but got combined into a monstrosity known as ARquius. I basically want to punch ARquius every time he speaks. I miss AR's hilarious repartee and attempts and flirting with Jake. : (
Now that I think of it, Doc Scratch was pretty entertaining, too.
Gone but not forgotten, guys. May you all be forever immortalized in fanfiction. XP
He was what made that anime and then he dies thanks to Light 
. Also Light's and Mello's death were sad to though they aren't my favorite characters.
Seriously? Wow. All of these were very sad deaths 
