People with whom I had some level of personal connection (work, school, volunteer, family, etc): Joan Rivers, John Denver, Jimmy Stewart, Robin Williams.
People whom I felt left the world lessened by their passing: Robin Williams (again), Karen Carpenter, Phil Hartman, Jim Henson
People whose careers had tremendous impact on me as an individual: Bowie, Leonard Nimoy
Different levels of grief, but there.
The only time I can remember ever getting choked up when I learned about a death , was Ty Cobb.
Prince’s death is the only one who has brought me to tears.
Walt Disney (when I was in sixth grade)
Dwight Eisenhower (I remember seeing the flag at half-mast while I was walking home from school)
Vic Morrow (my hero, Sgt Saunders)
Gene Roddenberry and Steve Allen (I thought these two would be around forever)
DeForest Kelly, James Doohan, and Leonard Nimoy
The world is a blander place without Bowie and Prince. Excuse me while I put Iggy Pop in a protective bubble.
Heath Ledger, Paul Walker, Brittany Murphy, and Skye McCole Bartusiak all made me very sad.
My mother. She was on Jeopardy in the late 80s, and was the most famous person I knew. #cancersucks
I was together with friends when John Lennon was killed. Someone ran into the room and announced it to us. Most were stunned and shocked, visibly shaken. While my reaction was subdued out of respect for my friends, because my thoughts were basically wow that is sad, that is tragic, that sucks for him, but, oh well, that’s how it goes sometimes.
Celebrities die all the time, I’d wager 99% of the celeb deaths I hear about aren’t really that important to me since they are not friends and family. However in the <1% of times when it does, it is interesting to hear why it impacts someone.
Peter Falk and Mark Lenard were two others I thought would be around forever. 
I only got to know his music after he died, but I still feel sad when I listen and know how much he didn’t get to do.
Phillip Seymour Hoffman’s death was a blow.
Karen Carpenter, because I was only 16, and I could still be shocked by a celebrity having such a sad and lonely death.
Lillian Gish, even though she lived to be almost 100, and had a very full and satisfying life, because I wrote her a letter when I was 17, and she took the time to answer it personally.
Michelle McNamara, because my brother knows her and Patton Oswalt, and he is very upset, and because she had a small child, and that’s always tragic.
River Phoenix. We were born the same month of the same year.
Charles Schulz. Peanuts has been a huge influence in my life, not least because it’s one of the first things that brought me and Mr. Rilch together.
Rik Mayall. At first I thought it was a fake announcement, another of his jokes. Then all I could do was put on an old episode of Grimm Tales and cry. Funnily enough, Robin Williams’s death would have hit me that way if it had happened first, or if Mayall had not died. When I did hear about Williams, it was somewhat eerie; they did have a similar comic style.
And Fred Rogers, especially because it happened on the eve of Gulf War 2.0. The 21st century didn’t look so good to me at that time.
Three come to mind. Not surprisingly, each had a big influence on who I am today:
Johnny Carson
George Carlin
Roger Ebert
The only living person that I can think of off the top of my head who will have a similar effect (for the same reason) is David Letterman.
mmm
Junior Seau made me genuinely depressed. Watching his mom wailing on television wailing in raw emotion over her son is something I can’t unsee. The tragedy of who he was, and what he meant to the city versus how he took his life is not unlike Robin Williams.
I still get a little down thinking about it.
Robin Williams is the next closest. Amazing talent… he was great at all the things I’d love to be good at… acting, making people laugh… such a tragedy.
Steve Irwin. After finding out he died, I remember having nightmares that night about his death. Then still being in shock and disbelief the next day that it actually happened.
However, lately, no celebrity deaths are affecting me much. I feel bad, I don’t like everybody dying, but it doesn’t “hit” me.
Does this include only emotional effects, or, for instance, having to figure out how to cover the shift of the young hippie cashier who couldn’t keep working that day when she found out Jerry Garcia died? (She was otherwise exemplary, so we dealt with it)
Harry Caray. I’m a huge Cubs fan and I have so many memories of watching games on TV with my dad, and the occasional trip to Wrigley with Dad. I watched his funeral on TV and cried the whole way through it.
When I first joined this board, I was working as a stand-up comedian. I had the honor of meeting George Carlin one night after a show that he did. He was extremely nice, affable, and supportive when he learned that I was in the same field. He actually took the time to help me rewrite a joke so that it worked better.
Most of the others that affected me were also in entertainment. Robin Williams, Phil Hartman, John Ritter. Gilda Radner was the first celebrity death that I consciously remember hitting me hard, because I was a fan. I vaguely remember John Lennon being murdered. I broke the news to my mother that Elvis died. It devastated her. I was 4 years old.
In the future, it’ll kill me when Weird Al dies. I’ve grown up listening to him, and I met him once. Ditto Billy Joel, only I’ve never met him. Adam Duritz will destroy me, too. Because I’m a huge Counting Crows fan, and he and Ben Folds are two of my favorite songwriters.
Many of the ones listed already for me, so I won;t rehash them.
I’ll add one, although it may be stretching the definition of celebrity. I remember the moment in June of 1986 when my college roommate told me that Len Bias had died. It hit me hard, not just because I was a huge fan and his future had looked so bright, but because of how it happened.
If you don’t know the story, or even if you think you do, here is a well written retrospective article about his death, and the aftermath.