Sad deaths = Aeris in FFVII: Only time I have EVER been made to cry by a game; Zack in Crisis Core: It was sad to see him go once you actually got to know him; Gandalf/Boromir in LOTR: knew it was coming, but it was done so well that it was sad as hell.
Awesome deaths = Dinobot in Beast Wars, Scirocco in Zeta Gundam, Alex Row in Last Exile, Katsumoto in The Last Samurai.
Funny Deaths = Paris Hilton in House of Wax, Gates in Full Metal Panic: The Second Raid, the random gang member in Watchmen who gets his arm broken open by Silk Spectre and then is shot by his friend 3 times, the ten English soldiers in The Three Musketeers who get a wall pushed on top of them while interrupting the musketeers' breakfast.