Certainly not a 'favorite' death scene, but the most memorable to me was from Full Metal Jacket. The bathroom scene with Joker, Pyle, and Hartman. It still sticks with me as one of the most surreal, messed up death sequences I've ever watched. If you haven't seen it, I don't want to directly spoil a major part of the movie. Still, if you haven't seen Full Metal Jacket you need to. I'll provide a link to the video for those curious, it has Adult Language, Violence, and Adult Situations.
http://www.youtube.com/watch?v=WlrX3bwQ2rk
http://www.youtube.com/watch?v=WlrX3bwQ2rk