The Call of Duty Modern Warfare series does this at least once in each game. In the first one, it's the just-got-ousted President of the generic Arab Country, whom you get to play as during the moments leading up to his execution. In the second, it's SatCom 1, who you use to watch Price's plan unfold. When it does, the resultant space-shockwave destroys the station you're on, killing you in the process.
Happens multiple times in the Story Mode of Mortal Kombat 9, in which a character will be killed immediately once his chapter in the story ends.
Chapter 11 of Valkyria Chronicles includes Isara inventing smoke bombs to get the squad past a narrow field without being gunned down by the enemy... and then ends with her being Killed Off for Real.
Mass Effect 3 does this with several missions that involve former members of your squad from the second game: they receive some notable focus and then wind up dying by the time it's over. For most, it can be optionally subverted, since you can save them from dying. The only ones you can't save are Legion, Thane, and one of either Mordin Solus or Urdnot Wrex (since the latter being dead since the first game is a requirement to save the former).
Some chapters in Corpse Party: Book Of Shadows are this. Chapter 2 is how Mayu tries to avoid her death only to be killed even more cruelly (you should know that after playing chapter 1). Chapter 4 is how Sayaka tries and fails to find Naho. Chapter 6 is how Yuka dies in one of the wrong ends in the previos game.