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.
After countless deaths and resurrections, the goddess Mystra of Forgotten Realms is strongly implied to be dead for good after being murdered by Cyric of all people.
Should be noted that "countless" in this case translates to "two". Still, a lot of people doubted it was going to stick, and so far there've been no signs of them undoing it.
Horus would be an example of this happening to someone who isn't a Red Shirt and had access to ways of cheating death. 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.