The first time (and last time) that I have ever had my character die in combat came about three months ago. My Halfling Cavalier was part of a six-member party in The Accursed Halls module. Our party had somehow managed to find the exit and decided to work our way backwards through the halls. Unfortunately, we had a wight to our front, and an incorporeal creature to our flank. My wolf mount was to scared, but I managed to do something about that. However, since I was just a first-level Cavalier, I didn't have the gold (or even knew about cold iron weapons until then) to purchase the appropriate weapons to do proper damage to the Wight. Unfortunately, that did leave my Cavalier open to having a level drained, effectively killing him.
And that is how a rookie mistake killed my Halfling Cavalier.
How did your characters die? How emotionally connected were you to yours?