Dead dads and granddads are a core component of JoJo's Bizarre Adventure. Seriously, it's the crux of the entire series, starting with the murder of George Joestar in the very first arc. From there it continues to be a major plot point in every storyline that's thus far made it into anime form, and then some (assuming you've read ahead in the manga).
Despite not being a Joestar, Caesar Zeppeli was not spared from this plot device. His grandpappy -- William A. Zeppeli -- gets got in the opening episodes of the series. In part two, Battle Tendency, this inspires Caesar to take up his family's banner in a martial arts bromance (co-starring Joseph Joestar) against the forces of ancient super-beings called the Pillar Men.
Unlike Joseph, Caesar is audibly torn up about his ancestor's sacrifice. So much so that his budding relationship with Joseph takes a backseat to revenge, as he charges forward to take on two Pillar Men single-handed.
Things do... not go well. Caesar butts heads with Wamuu, the lesser of the two beings. Despite putting up a pretty stellar fight (Wamuu himself admits he'd have lost immediately if his own powers weren't a perfect counter to his opponent's), Caesar is done for by a sneak attack, and crushed with falling rocks.
The only trace that's left of him by the time Joseph arrives is a bubble -- the result of Caesar's peculiar fighting style -- containing the fallen friend's headband, and antidote to a poison running through JoJo's body. His last act before dying alone was to pull the cure from Wamuu's body, which the Pillar Man allowed to remain as a sign of respect.
Of course, eagle-eye (i.e. not blind) viewers picked up on all of this before it even happens. The reason being that Battle Tendency straight-up spoils the whole tragedy in the opening credits...
Stardust Crusaders is a fantastic but lengthy stretch of JoJo's Bizarre Adventure. It's the arc that brought many people onboard with the series, and in fact -- before the latest anime iteration of Hirohiko Araki's epic -- it was the only part of the story committed to animation.
As such, viewers and readers have a long time to fall in love with this eclectic cast of characters as they make their way from Japan to Egypt in the span of a few weeks. Their adventures range from silly, to deadly, to (ahem) bizarre. For the most part, though, things stay pretty light for Jotaro Kujo and company.
The one possible exception is the "death" of badass man-on-fire Mohammed Avdol at the two left hands of Centerfold (a.k.a. J. Geil) and gun of Hol Horse. Even that, though, was basically a ploy to have the character return in appropriately awesome fashion after it was revealed that he faked his own murder. At this point we'd like to remind readers that this moment led to Avdol and friend Jean-Pierre Polnareff peeing into their would-be assassin's mouth. They don't call it JoJo's Bizarre Adventure for nothing...
Anyway! Against all odds, yet somehow also predictably, the crew makes it to their final destination relatively unscathed. There they encounter Dio Brando -- their semi-immortal vampire foe, now juiced with superpowers -- and his last two lieutenants. The encounter splits the group, sending Polnareff, Avdol, and nonplussed canine "companion" Iggy into the lion's den alone.
Here things finally turn sour (and we're not counting the urine). Dio's second-in-command, Vanilla Ice, ambushes the trio. Staying true to his character, Avdol protects his friends by pushing Polnareff out of the way of a matter disintegrating attack at the last second. Except this time it really is the last second for Avdol, as he's consumed by Vanilla Ice's stand, sent to his death in some far off dimension. No take-backs this time.
At this point Polnareff is understandably distraught -- blaming his own lack of perception for the killing. Later in their fight, to pay forward his dead friend's kindness, he tries to sacrifice himself as well -- this time to protect a badly wounded Iggy. Except, once again, an ally gives it up for the Frenchman as the finally-helpful dog uses the last of his own strength to save Jean-Pierre. If ever there was a candidate for survivor's guilt, it was definitely Polnareff.