I thought Russell dying in True Blood was unfair. I just felt he was a cool villain and he went out like a punk. It wasn't unfair to him as a character, but to me as a fan..yes. Shrugs off and owns some fairies only for a dude who he has owned various times to kill him. I also hated the death scene because it was shot in a way where you couldn't tell if he melted from fairy blood overdose or if it was just a stake, but it took a while because of fairy blood. I believe the latter explanation is the right one, but still weird.
Also Alicia from Smallville. Pretty much the only chick Clark ever dated besides Lana and Lois and chick ends up hung from a noose by some dude who turns into sand. Sure she was batshit insane, but meh.
Anyone who ever watched One Tree Hill..remember Q the basketball player who gets shot? Yeah that's another candidate. That was about when I stopped being into OTH.
Oh add Jimmy from Boardwalk Empire to the list. Technically deserves to die, but then so do pretty much all the characters on that show.