Guess
I still remember the horror I felt when I first saw **Spellbound ** and there’s that flashback scene where Gregory Peck’s younger brother slides down the stairs and:
is impaled on the wrought iron fence post.
Why is it that, with all of the deaths in Raiders of the Lost Ark, it’s the Nazi in the airplane propeller that gives me the shivering willies?
Final Destination has great deaths all around. I stop on it evertime I flip past it on TV.
“Drop. Dead!”
WHAM
Also, the sherrif (I think, or some other police-guy) and his wife in the X-Files episode “Home.” Scares the fucking hell out of me.
I just watched that movie on TCM a few weeks, and I believe I shouted “holy shit!” I wasn’t expecting that…
Spike’s death at the end of Buffy the Vampire Slayer. It was very emotional for me on a lot of levels.
Two deaths from Angel–Fred and Wes. Fred because I never, ever thought they would kill her, and Wes because I loved him and I always thought if he died, it would be fighting by (or with!) Angel.
I remember I always cried when Goose died on Top Gun. What? I was like five at the time! Though to this day, i still hate that part…not that I ever watch Top Gun anymore…
One of the most emotional ones, which is probably meaningful only to Australians, comes from a favourite of early childhood literature, the novel Seven Little Australians by Ethel Turner. Even now I start crying whenever I re-read the scene where Judy dies after she’s been crushed saving her baby half-brother from the falling tree during the picnic at Yarrahappini.
Years ago a television series was made of the novel and it was screened on Sunday nights. The whole family (dad, mum, brother, sister and I ) were in tears as we watched that episode.
Commodus in Gladiator. Not that flashy, but very satisfying.
Major Kong in Dr. Strangelove. 
Frank in 28 Days Later was pretty unexpected.
I know its not a movie but Spike’s death at the end of Real Folk Blues pt.2 is one of the best done deaths ever.
oh you can’t forget the moving “grenade in the airshaft” scene in Aliens with Gorman and Vasquez.
Eastwood taking out Scorpio at the conclusion of Dirty Harry. I hated that little prick and found it particularly satisfying that Harry pushed him into going for his gun.
The death of Brother Edward, in “Passing Through Gethsemane”, an episode of Babylon 5.
“I always wondered if I’d have the courage to stay in the Garden. Now I know Theo, now I know.”
Have to second these:
Spock in Star Trek II…shame they ressurected him.
Boromir in Fellowship of the Ring.
The swordsman in Raiders of the Lost Ark.
And my personal TV favorites:
Magnum killing Ivan at the end of Did You See the Sunrise, Part Two. Surprised the living hell out of me at the time.
and
Crockett killing the drug dealer holding the little girl as a shield in the Glades episode of Miami Vice in season one. “Maybe…you won’t even…twitch.” BANG.
The Rock
Stanley Goodspeed “Did you ever hear the Elton John song Rocket Man?”
Bad Guy “I don’t listen to soft ass shit!”
Stanley Goodspeed “Oh you don’t…well…it’s you…you’re the Rocket Man.”
[Shoots him out the window with a rocket]
True Lies
“Your Fiherd!”
Ahhh nothing beats a dude strapped to a rocket.
Eraser: “You have been erased.”
Deep Impact: “Look at it this way: We’ll all have high schools named after us.”
Babylon 5: Sleeping in Light (series finale).
If you’ve seen it, you know.
Heat: “Told you I’d never go back…”
Leon: The Professional: “This is from… Matilda… {BOOM!}”
-DF
Luca Brazzi in The Godfather (Poor Luca)
…and since no one has mentioned it.
The wicked witches death in The Wizard of Oz. “What a world, what a world…”
HAL 9000’s “death” in 2001: A Space Odyssey. Frank Poole’s death was also haunting.
When Hannibal Lecter kills the two police officers in the museum in The Silence of the Lambs.
James Bond’s playful execution of Professor Dent in Dr. No.
“That’s a Smith and Wesson. And you’ve had your six.”
That scene cemented Connery in my mind as the quintessential Bond. Suave, debonair, yet ultimately a savage at heart.
The Good Son, when Macaulay Culkin’s mother drops him from the cliff.
Because it is Macaulay Culkin and he is getting dropped from a cliff. 
The scene from the Last of the Mohicans where the Huron bad guy just gets destroyed by the, well, last Mohican.
That’s one of my favorites too. They named the sheriff character “Andy Taylor”. Those three inbreeds approaching the house made my blood run cold.
Besides the other mentioned here, I think one of my favorite death scenes was Rosalind Shay’s plunge of doom on the eighties TV show “LA Law”. She was such a bitch, and the scene was totally unexpected.
Another one is the opening sequence in “Jaws”. Still gives me chills.