Oddly enough, I can't remember many of my characters who have properly died. Some of have 'died' in the Marvel sense of the word, while others have survived experiences that should have killed them but instead left them changed somehow, either physically or psychologically.
But the most memorable 'death' of a character I've played has to be the death of Jenny Darkholme in Doc's Marvel Heroic Roleplaying campaign. Her powers were energy absorption/manipulation and teleportation. She had recently discovered she was one of the many incarnations of multiversal guardian Jenny Everywhere and had been loaned the 'space sword' by Toph Beifong, which could be used to open portals between realities. Facing down an armada of Borg ship at the Savage Land seeking to 'archive' all life in the universe, Jenny slashed the air in front of them while yelling, 'Archive this!'
Though her intent had been to channel her power through the sword and teleport the armada somewhere else - and preferably less hospitable to them - what actually happened was that she opened a portal into a universe of pure energy (where Cyclops' eye beam blasts come from) and unleashed a huge burst of the energy on the armada. While the energy did decimate the fleet, it was running out of control. If the portal could not be closed, it would continue to expand until the energy consumed the world and maybe the entire universe.
Desperate to fix her mistake, Jenny reversed the space sword and tried to 'zip' the hole shut again. She kept pulling it shut against the force of that energy even as it heated the sword to the point that she smelled her own flesh burning. She got it closed to a fist sized hole before the tip of the sword melted completely, and the rest disintegrated in her hands. As she looked down at her hands, she found they were glowing, and tethered to the hole by a stream of energy. Her energy absorption powers had reacted to the universe on the other side, and she was becoming energy herself, being pulled into the energy universe. Urging her teammates to fight on, Jenny vanished into the hole as it sealed shut behind her.
Jenny's consciousness altered that reality, turning it into a sort of limbo place - called the White Room - where other Jennys who had died would arrive and wait until their essence (which contained the 'DNA' of their respective home universes) could be used to reboot the multiverse. Eventually, she returned to the physical plane, but the experience left her a little calmer and more serious than she had been before.