The rules of Exalted states very clearly that for all amazing things magic and charms and exaltation can accomplish, dead is dead and you can't be brought back. And while reincarnation is a common theme and you may have memories of previous lives, it's made clear that it's not so much your past life as just a past life that happened to have the same shard, which retained a few memories that you can use. And, although spirits do exist, as well as undead, and weapons that can have souls bound to them (rather painfully), one can never return to life.
Horus would be an example of this happening to someone who isn't a Red Shirt and had access to ways of cheating death (though he evidently, at the end of his life, didn't want to). He was Killed Off for Real by a psychic attack from the Emperor that obliterated his soul.
Captain Tycho of the Blood Angels was killed off in the Armageddon worldwide campaign.
Eldrad Ulthran of the Ulthwe Craftworld (plus his coterie of Seers) was killed in the end of the Thirteenth Black Crusade because he had no idea that a Talisman of Vaul/Blackstone Fortress had already been inhabited by a manifestation ofSlaanesh. Though the newest codex allows you to field him in your army as 'a symbol of hope' because a few of the soulstones he delivered to various battleseers during the 13th Black Crusade did not all fade.
Should be noted that the current editions take place right when the Black Crusade starts so he's still alive, as he dies at the end, and GW has no plans on following up the Crusades aftermath.
Sanguinius was slain by Horus so hard that the Marines descended from his gene-seed felt it. That's not an exaggeration — the Black Rage that haunts the Blood Angels over a thousand years after their Primarch's end is the psychic trauma from the moment of his death.
Rocket Age uses the Vortex system, which generally allows both player characters and NP Cs to dodge death using their pool of story points, even if they are dropped into a volcano or last seen falling into space with a hole in their chest. However, if a character is all out of points or has the Slow Death trait, they are gone for good. Occasionally major NP Cs die in story moments too.