John Coffey, The Green Mile
This entire movie conveys extremely obvious overtones. Michael Clarke Duncan's depiction of John Coffey, a harmless mentally ill giant who is on death row for a crime he didn't commit, is emotionally moving from the beginning to the end. Nobody wants to see John Coffey die, but he does, and it hurts.
Artax, The NeverEnding Story
Spoiler alert, Artax never actually completely dies (this whole thing is spoilers anyways). But, his temporary death rocked viewers to their cores. Nobody wants to see a horse drown.