The death of Eric the Slayer in Skyrim. I lost a good follower. I lost a man who wouldnt have died had I not bought him his first armor and sword.
To make matters worse, his character was a tribure to a dead fan.
In the same vein when a chain-lightning spell went awry and one of my mage characters killed his own wife. Crushed. Is it any wonder that he later accepted the gift from Hermeus Mora that made his followers immune to his spells?
Dragon Age and Dragon Age 2 had some as well. The worst is what happens if you take your sibling in 2 (particularly the dialogue variants that are same sex, and Carver in general) into the Deep Roads without Anders.
Having your wife, child, and dog killed in Fable 2.