Since I have had very few player characters over the years, my most memorable character death is probably my first one.
My very first character, a Holmes Basic D&D Halfling named Gobo Pepperthorn, leapt in front of his ally (another PC) to prevent him from being killed by a dragon's fiery breath.
As I recall, Gobo and the rest of the party had been separated by some sort of trap, and Gobo found his way to a hidden chamber he hoped would lead him back to his friends. Instead, it lead him first to a room from which he overheard the campaign's main villain talking to a subordinate.
The villain explained that the Elf in our party was actually the heir to the Elven Throne. The Elves, long king-less, were too disorganized to mount an effective attack or defense against the evil cleric and his undead armies.
Escaping notice, Gobo finally entered the Eastern door of a large chamber. Walking West to East, and now in the center of the room, were Gobo's companions who had entered the same chamber through its Western door. There in front of him, though still a jog away, was the Elf (no idea what his name was) and Ward the Cleric (I think it was Ward. The Player's name was Paul. That I remember). Gobo turned towards the North wall and saw a crimson, serpentine shape, striking forth like a cobra. A red dragon!
With no thought to his own safety, Gobo ran forward and leapt into the air, getting between the dragon's breath of fire, and his Elven friend. I hoped that my cloak, which gave me Protection +1 and Fire Resistance, might help me survive. No such luck.
So bold and heroic were my actions, according to the GM and other players, that I was allowed a short death speech. I was able to tell the Elf the truth of his lineage and get the Cleric to promise to fulfill my quest to find my father.
And that ends the tale that ended my first character ever in an RPG.
I was kind of bored of him anyway.
Just realized I've told this story before. :P