Ianto Jones, Torchwood
Pretty much everyone who could die was dead by the end of Torchwood. (I'm not acknowledging this mythical S4 until it is in front of me, and even then I will probably ignore it, so as far as I'm concerned this show is at its end.) Owen and Tosh were sad, Jack's grandson was gruesome, but Ianto was just unforgivable. Loyal, kind, competent Ianto stood by Jack's side, ultimately to his detriment. His love outweighed his sense of self-preservation, and the futile nobility of it was heartbreaking.
Donna, Sons of Anarchy
In the timeline of the show, Donna has been dead for less than 6 months (I think, I might be off about this). At the end of S1 Donna was gunned down by Tig, mistaking her for Opie, on Clay's order because Stahl framed Opie as a rat. There is a lot of human collateral damage on this show, but Donna will always be the benchmark of tragedy. As Donna drove down the street we waited for some miracle, something that would stop the forthcoming devastation, but in the unrelenting candor that is SoA, there was no such rescue. In a shower of bullets Donna's life, the opposing forces of which she had recently rectified, spilled on the street. And as far as I'm concerned, Charming will never be the same.
I cried and cried and cried. I might cry thinking about it. I have re-watched Skins S1 and 2 up until the end of "Chris" and I cannot get any farther knowing that in the penultimate episode of S2 funny, messy, loving Chris will fall victim to the same genetic condition that killed his brother Peter. I, like Cassy, just want to run away from it.
Fred. Seriously, Fred. Fred survived being trapped on a demon planet where she nearly lost her mind hiding in caves, got rescued and sane again, fell in love twice, became an essential member of Team Angel and the successful scientist that she was always meant to be, only then to have her soul burned to cinder when an ancient demon took over her body. It would have been sad on it's own, but what pushes Fred past the limits of tolerance for character death is that after she died the thing that killed her walked around in her body, mentally and emotionally torturing the people who loved Fred, especially Wesley. Without Fred, Wesley succumbed to a world without hope and (essentially) drank himself to death. Even judged on the Whedon-Scale-of-Tragedy, this was horrifying.
Billy, Battlestar Galactica
Characters of greater significance died (and came back) on BSG, and for the most part, they were all sad, but for me, Billy's death was too much. Mostly because it was so unnecessary. Billy wasn't a solider, he was an administrative aid with a very good heart who happened to be in the wrong place at the wrong time. So despite the fact that she was on a date with another guy, Billy sacrificed himself for that bitch Dualla!!! Yes, that is my interpretation of events, feel free to disagree with me. He was trying to be a hero, because by being with Lee, Dualla was clearly stating that Billy wasn't the kind of man she wanted, and so he made a very foolish choice based on that impetus. So, a good and ordinary person, the kind of people that the fleet was supposed to be protecting in order to rebuild the human race, died, casting doubt on the efficacy of the Galactica crew, and reminding us (as every episode tended to do) that there would be no (lasting) relief for the remains of civilization. Oh, and if all that didn't make you want to crawl into a hole, because Billy died we were subjected to the unmitigated atrocity that was Lee and Dualla's marriage. Shudder. Puke. Shudder.
The TV Girl
P.S. Yes, I know that there is a SIGNIFICANT character death on Game of Thrones that I haven't written up yet (actually that I haven't watched yet, long story), but I can't even begin to tell you how upset/outraged/frustrated I am about that. But I will tell you, eventually, later this week, I hope.