My favorite character death is from The Bartimaeus Trilogy by Jonathan Stroud. The third book ended with the first fictional character's demise that made me cry.
One of the main reasons I love The Bartimaeus Trilogy (besides the semi-informal writing style, inexcusably large vocabulary, and snark) is the character growth. All three of the main characters - Nathaniel, Bartimaeus, and Kitty - start out with major character flaws. Nathaniel himself even becomes more detestable. A lot. But in the end, all three of the characters grow into admirable people (or djinn, in Bartimaeus's case), and their character arcs end on a very satisfying note because they all reach a place where they are better than they used to be.
That doesn't mean that when Nathaniel died, it wasn't fricking heartbreaking. Even more so because it made sense for his character. Nathaniel started the book as the villain both in Kitty and Bartimaeus's eyes, but he starts to realize his mistakes. By the end of the book he changes into a hero, and Stroud makes it clear by showing us: Nathaniel gives his life to save the city from the evil djinn, and he values Bartimaeus's life enough to save it, too. The character who was self-centered and who hated all djinn now commits an entirely selfless act, and considers Bartimaeus a friend.
It makes me feel physically ill when I think about it. Nathaniel isn't even my favorite character, not even close. Point to Jonathan Stroud.