My vote is either Tidus from FFX, because the only thing worse than dying is to find out you never really existed in the first place.
Or Sergent Avery Johnson in Halo 3, because he survived the Covenant and the Flood all those times (not just in the games but in the books as well) just to get killed by a floating nerdy lightbulb.
Or Sergent Avery Johnson in Halo 3, because he survived the Covenant and the Flood all those times (not just in the games but in the books as well) just to get killed by a floating nerdy lightbulb.