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As far as characters I hated and wanted to die? Hmm, well, it's a tie between Squall and Rikku from X-2. Squall is apathetic and rude, but Rikku was plain annoying to me in X-2. The way she would say "Yunie!" really got on my nerves quickly.
First death that impacted me? It was Polom and Porom in IV. I was a little choked up when I watched their sacrifice. (SPOILER)I didn't know that they would have the petrify removed when the Giant was awoken. I've only started playing VII for the first time recently, so I don't have much to say about Aeris' death. The other big one was General Leo. I was very unhappy that he was so easily killed by Kefka.
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I was actually sad when Brahne died, not for Brahne but for Garnet.
Feel like FFVIII should have had a main character (from the main 6) death. First time i played it i didn't see the after the credits bit and i thought Squall had died, I think maybe that gives the story a bit more depth.
I was sad that Raine died, there was something lovable about her
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Wakka's death always impacted me pretty deeply.
Well, the fact that he didn't.
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I admit it- Aeris(th). The music did it, mainly, as well as her mouth dropping open lifelessly. A close second is Anna in FF4- the sprites can't depict sadness too well, but the music gave it an Aeris-like affect.