1) Maria Santiago (Gears of War II) - I'd like to put Dom here at #1 but his death was heavily foreshadowed and served a heroic purpose. Maria was subjected to unspeakable horrors and her tragic end haunted me for the rest of the series.
2) Mom (Dragon Age II) - This made my list simply because it came completely out of left field. The Hawke family has some shit luck but nothing prepared me for this bizarre twist.
3) Jenny (The Darkness) - The apartment scene early on is perhaps the sweetest 5 minutes in gaming history. Unfortunately it was setting you up for one of the most tragic moments in gaming history.
4) John Marston (Red Dead Redemption) - Remember what I said about foreshadowing? It didn't matter in this case. John walked through hell fire just to return to a dusty patch of farmland to be with his family only to learn a valuable lesson about redemption. While this was somewhat of a forgone conclusion from the start it's still tragic.
5) Thane (Mass Effect 3) - Mass Effect is tough since many deaths in the game are determinant. This is not the case with Thane. While you know he is doomed from the start due to his illness, I expected him to go out with a blaze of glory instead of in a hospital bed. He remains one of the coolest characters in the series and most certainly one of the most interesting.