Permanent death is one of the most shocking things that can happen in a videogame mainly because we grew up in an age where new life was just a quick continue away. Here's a tribute to 11 of the characters whose moms wouldn't give them any more quarters. Warning: Most of these games are pretty old, but may contain spoilers if you're totally out of the loop.
It's a good thing there's no fall damage in FFVII, or Sephiroth probably would have broken both of his legs and we wouldn't have the most shocking death in VG history. Actually, Sephiroth probably would've died and then THAT would be the most shocking death in VG history. And probably the grossest. Whoever heard of someone going to a place of worship only to be unexpectedly penetrated?
Don't answer that.
Roman's death shouldn't have bothered us that much. He was pretty much just a human, fat, Yugoslavian combination of Navi and Natalya, except he always wanted to go to strip clubs or bowling. So, a kind of awesome combination, but still annoying and always in need of rescuing. RIP Roman Bellic Husband, Cousin, Friend. Do not weep for him, for he is ogling titties in Heaven now (or not, otherwise RIP Kate).