The Call of Cthulhu games are known for being ruthlessly brutal - an antidote to the relative safety that the heroes enjoy in other game, notably Dungeons & Dragons, where they can expect to live out most adventures. A player in Cthulhu should always keep spare character sheets to hand, and never get too attached to his hapless adventurer.
A rules-light Lovecraftian game called Cthulhu Dark takes this Up to Eleven by suggesting you might instead just bring a stack of index cards or a sticky-note pad instead of character sheets, your characters are so disposable.
Dark Heresy, Rogue Trader, Deathwatch, Black Crusade, and Only War of the Warhammer 40K RPG series certainly qualify. With only a limited amount of Wounds per character in comparison to the damage weapons can inflict, characters quickly burn through their health in fights. Though the game attempts to alleviate the problem by granting Fate Points, which can be used to avoid certain death, these too tend to get used up quickly.
The Legend of the Five Rings RPG is notorious for its lethality, and with good reason: with a dice pool task resolution system that allows you to keep the highest dice rolled in the pool, and the fact that rolling a ten (the highst number on a d10, the die type used by the game) on a die allows it to re-rolled and added onto the previous total in addition to the ten previously rolled allows for rolls (and in particular damage rolls) to become very high, often causing even the toughest character to die in one or two hits.
Stars Without Number doesn't quite go that far, but it's still a very deadly game where first level characters need to be careful about not getting shot at because a standard firearm will very likely kill them. There are suggestions for making it a bit less brutal, such as implementing a "dead at -10 instead of 0HP" rule, but ultimately the recommendation of bringing along a spare character sheet or two is in the corebook for a reason.
Nagash: the Fay Enchantress, Thorek Ironbrow, Eltharion the Grim, the Grey Seer, Volkmar the Grim, Elector Count Aldebrand Ludenhof, the Nehekharan god Usirian, King Phar, Heinrich Kemmler, Zacharias the Everliving, and Crom the Conqueror. Krell, Mortarch of Despair, is an undead wight who was decapitated by a Tomb Scorpion but brought back by Nagash.
Glottkin: Everyone in the cities of Marienburg, Talabheim, and Carroburg, Taurox the Brass Bull, Louen Leoncour, Kurt Helborg and Karl Franz. Ku'gath Plaguefather and Festus are daemons, so they can return eventually, Elector Count Vlad von Carstein is both a vampire and has a ring of regeneration and so doesn't stay down very long, and Sigmar possessed Emperor Karl Franz's body after he fell in battle.
Thanquol: Belegar Ironhammer, Lords Kroak and Mazdamundi, Boris Todbringer, Khazrak One-Eye, Malagor the Dark Omen, Gregor Martak, Queek Headtaker, Thorgrim Grudgebearer, the cities of Nuln, Middenheim, and Altdorf, the dwarf hold Karak Kadrin, the regions of Lustria and the Southlands, the god of winter Ulric, and Valten, Herald of Sigmar. Skaven Lord Skrolk of Clan Pestilens was killed by Kroq-Gar and brought back from the dead by a Verminlord.
Archaon: The entire worldand everybody left, most notably Kairos Fateweaver, Vilitch the Curseling (though he swapped so his brother Thomin took control while Vitlich became the slave), Ludwig Schwarzhelm, Valkia the Bloody, Scyla, Ungrim Ironfist, the city of Averheim (and the Empire with it), Luthor Harkon, the Nameless, Luthor Huss, Egrimm van Horstmann, Shadowblade, the elven goddess Lileath, Sigvald the Magnificent, Mannfred von Carstein, Hellebron, Durthu, Caradryan, Ka'Bandha, Grimgor Ironhide, Teclis, Nagash, and Malekith. Krell and Arkhan were killed in the battle for the Black Pyramid (Krell was eaten by a Great Unclean One and Arkhan was hit with magic and a Nurglite curse by Isabella) but both were brought back by Nagash; Krell was later killed by Sigvald and that death stuck. Vlad was killed by Isabella's power, but was regenerated thanks to his ring. He gave it to Isabella and killed them both, knowing the death was the only way to free her from Nurgle's clutches and the ring would bring her back. The fiction ends with a human figure sparking the beginning of a new world after the Chaos Gods abandon the Old World in search of a new playing field.
Forsooth!: The game ends when all the main characters are either wed or dead. Tragedy games will tend to favor the latter—and often it's at the hands of other player characters.