In my first playthrough, I got the 'game over'-screen from SMT: Lucifer's Call burned into my retina quite a few times. It was pretty nicely done...
The best one I remember is from some game I once played 12 or 13 years ago... or something like that.
It was a top-down shooter with spaceships, when you lost your final life, the screen changed and you heard a loud, low voice actually yelling: 'YOU ARE DEAD!'
Kind of sounded like an army's drillsargeant, maybe it was sampled from a movie...
Also: Dying in the old Crash Bandicoot games.