Severus Snape, actually, as he was build up as a more sympathetic character throughout the entire series. Very well done, I feel. Mere hints at the beginning, more and more details closer to the end. A bit too much exposition at the end, but whatever. As much as I hated the epilogue, I liked the bit where adult Harry tells his son about the origin of one of his names.
Sirius could've worked quite well, but he unfortunately simply played too little of a role. He was established late and didn't really grow until he died. Plus, I did not find him seeing James in Harry so often charming but rather worrying. As if he may not really have loved Harry for who he is as his godson, but still his friend James. In the end, he was in the story too little and his death affected me much less. Maybe this sounds a bit harsh, but it wasn't as much of a loss as it was a potential loss.
Fred Weasly was kind of sad, but it happened a bit too quickly, which was probably the intention, demonstrating how destructive, chaotic and deadly the battle is. At least he got a proper send-off by his relatives, though.
Unlike Lupin and Tonks. They got offed "off screen" so to speak. Tonks was a new but likeable character, but Lupin was much better established than, say, Sirius, and I feel deserved much better.
Dobby was sad but also heroic. He died fighting against insurmountable odds (further reinforced by his physical smallness) for freedom and for his friends. In Klingon and/or Viking terms, it was a good death.
Voldemort died quite appropriately. Alone, surrounded by his enemies, nobody left to mourn him. I did like that he reacted so strongly to Bellatrix' death, as that may imply some stronger emotions than are usually attributed to him. Then again, he might simply have been angry at the loss of a strong fighter, not at the loss of his close confidant.
Dumbledore. Did not affect me too much. I saw it coming a long way off and it was quite apparant that he orchestrated his own death. Admittedly, I did not see it coming that he had planned it almost a year in advance, but I did realize when reading it for the first time, that Snape was killing Dumbledore on his own orders. I just figured it was a rather short-term orchestration, if you will, not a plan so long in the making.
As for others? The Creevey brothers made me sad. Bright-eyed, happy, friendly, idealistic, a little annoying, childlike. They didn't deserve to be caught in the crossfires and killed off so unceremoniously like that.