Red Dead Redemption
John Marston. You gun down as many of the fuckers as your dead-eye meter allows you to...but it's futile. Still...you're a cow-boy, and you aint gonna go down without no fight.
Bioshock
Andrew Ryan. That scene in general is so well done. I mean...you never have control taken away from you until then...and why? Because you're being mind-controlled, and at that instance everything that happened before hits you like a brick. His death is also quite admirable. Sure he had a rather messed up philosophy, and he then proceeded to turn his back on that philosophy in a pathetic attempt to keep hold of power, but he went down a 'man' and not a 'slave'. He chose his death, and by making you do it against your will, highlighted you as just a slave. Powerful.
Halo Reach
Emille in particular had a cool death. Gets over-run with Zealot Elites, guns one of them down point blank, but gets back-stabbed by another. With a sword thrust right through his stomach he's still able to swing around and shove a knife in his killers neck.
"I'm ready! How 'bout you?"
Noble Six's death is also great. You keep on fighting until it's wave after wave of Elites, and you're getting hammered with Wraith mortars. Eventually you have to die, but you go down fighting.
Mass Effect 2
Not really bad-ass at all, but if you're fail-shep on the suicide mission, then you die. It's kind of touching seeing all your squad die, only for Sheppard to fall from the Normandy at the very end, all the while pleading Joker to get the hell out of there so he can tell the galaxy the reapers are coming.