Both Xena and Gabrielle died many times,but it was well done each time, not just shrugged off. I especially liked when Gabrielle died and Xena was alone for several episodes, mourning and looking for her. Or when they were crucified, that was very emotional and painful to watch. But the one that sticks out was the final one - Xena dying forever in the series finale. It was horrible and wrong, and then watching Gabrielle find her desecrated, headless body, just awful. You really felt for Gabrielle.
Buffy's death when she sacrificed herself to save Dawn was moving for me.