Blade Runner - Roy Batty, problably the best done death scene in scifi

24 season 1 - Teri Bauer, never saw that one coming either, and you're so bound up with Jack going through nightmare day that there's this sort of relief that its over and then... bam!

Stargate Atlantis - Dr. Beckett's death, very well done episode, takes you out of the blue.

House MD - Dr. Amber Volakis, not so much the death scene as the actual accident sequence.

The Shield - Right at the end of the pilot, Terry Crowley shot, didn't see that one coming and it hits you afterward

Star Trek: Wrath of Khan - Spock, one of the few good death scenes in that whole franchise, and right after one of the few other good ones.

2001: Space Odyssey - H.A.L., that's a bizarrely painful and sad sequence

American Beauty - Kevin Spacey's scene

Secret of NIMH - As kid's movie go the whole thing is very emotional, so Jenner's death scene isn't exactly a sad moment but certainly rolls in there.

The Crow - I'd say the death scenes in general, even the bad guys, manage to get to you one way or another.

Reservoir Dogs - Very good ending

Platoon - William Dafoe's scene is a classic there.

Silence of the Lambs - Hannibal's escape scene isn't teary eyed but it sure is emotionally powerful, like the Shield pilot.

Se7en - Not really sure the 'What's in the box!?!' sequence can be considered a death scene but yeah

Saving Private Ryan - There's a few in there

I'm trying to think of some TV ones but but that's a bit harder, I can scan down the DVD collection but my taste in shows is sci-fi or comedy, and a lot of the other films the deaths are done well but you know, there's nothing surprising about them in 300, or Gladiator, or Titanic, Green Mile, etc. so its harder to get into those scenes because you're buffered. Boromir and Eddard Stark are going to die, you know that and the best acting isn't going to make the scenes hit ya as hard.