I was sad when King Cailan died, the first time I played. It was kinda like "what? you give me a super-idealist character with real power who believes in the truth, and then you're going to kill him right away? Well, there's your George RR Martin moment."
I wasn't at all sad when Duncan died, because it didn't show him dying onscreen, so I expected him to survive and pop up at some point later in the game. He's on the boxart after all, he couldn't just be there for like the first 15 minutes, right? I assumed that he'd get corrupted by "the taint" and return later as a BBEG. I was wrong, but I wasn't quite sure until near the end of the game, when he still hadn't made any cameos, except in Alistair's dialogue. But by then it was far too late to be sad over his death.