I'm playing through .Hack//G.U. and it's not really a death per se, but in Disk 2.

(SPOILER)When Alkaid gets hit by AIDA and vanishes. She was my favorite character. I had plans of using her for the rest of the game. And what she was saying really tugged at my heart strings.

"Boys...don't...cry..." I didn't feel like playing for the rest of the day after that.