First off, ******** Kamina. I guess he was just too cool to live. Rest in Peace, you sexy beast.
Second and third, Ace and Whitebeard from One Piece. Poor Luffy and we poor fans had to watch Ace, the brother Luffy fought so hard to save, die to protect him. And Whitebeard in his godlike badassery never even bothered going down, he just died standing. Now that's a man.
Fourth, Maes Hughes from Fullmetal Alchemist. I just baww every time. One of the best characters in the show, and his funeral is a prime tearjerker.
Fifth, Kagura from Inuyasha. She's not so well known or mourned, but to me she one of the coolest female characters on the show. Not nice, that's for sure, but not actually all that bad. Wish she could have lived to see the end of the series.
And finally Pip from Hellsing. Going down saving the woman you love, not a bad way to go. I'd prefer it if he didn't go at all, though.