To be honest, I want to see a heroic character die a rather unheroic death for a change. In the novel I plan to write sometime before I leave this world, one of the characters, and probably the best fighter among them, is hit with an arrow through the neck in a volley of arrows when they storm a castle. I mean, the majority of the fighters that raid somewhere are killed by archers, but heroes, who are always on the front line, never seem to be hit even though they'd probably be the first ones aimed at. It's gonna be very inglorious, and very jarring (although not to anyone that reads this.. of course, you don't know my real name! :O)
But, as for Heroic deaaths:
I second Mr. Orange and Spartacus, and raise you Katsumoto in The Last Samurai, and...
JESUS. In any movie ever made about him.
@ Spinless: Jean Grey isn't dead, foo. It's just alluded that she passed on. She is "reborn" as the Phoenix. Wait for X3.