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.