In Rurouni Kenshin, Makoto Shishio stabs through Yumi Komagata when she gets between him and Kenshin during their fight. Then, since they're absolute Mad Love, he cradles and keeps her company as she dies. And a few minutes later, he loses and dies too.
In the same series, Kenshin holds his first wife Tomoe's lifeless body when he accidentally kills her.
Guts from Berserk is sent by Griffith to assassinate Lord Julius, the King's brother and the man responsible for a failed attempt on Griffith's life. Moments after completing the task, he notices a figure in the shadows of the doorway and lunges towards it, impaling it with his sword. Then he realizes that he just killed Julius' son, a thirteen year old boy with whom Guts felt a small measure of empathy. He holds Adonis' hand as he dies, but can't do a thing to help him and is visibly distraught.
The only thing that prevents him from going all HBSD is the timely arrival of a pair of guards.
A particularly heartbreaking example happens in Kannazuki no Miko, in which the full extent of Chikane's plan was only revealed after Himeko killed her, thus fulfilling the sacrificial ritual to destroy Orochi. They got better.
Another particularly heartbreaking example happens in Ga-Rei Zero- after Kagura killed Yomi, Yomi told Kagura how much she loves her.
Suitengu Choji, in Speed Grapher, finds his baby sister Yui years after they were both sold into slavery. What followed? Yui had been forced into prostitution and her mind was so gone that she didn't recognize him, even after he showed her her favorite music box. Feeling that there was no other way to help her, he cleanly kills Yui, then weeps bitterly as he holds her body.
The Sengoku Basara manga Bloody Angel has Mitsunari stab his beloved master Hanbe and hold him as he dies. Subverted in that Hanbe had asked him to Shoot the Hostage if such an event ever occurred.
Downplayed in All-Star Superman; Jimmy Olsen cradles Superman after being forced to fight him because he was exposed to black Kryptonite. Superman is beaten, maybe unconscious, nothing more.
In the Star Wars Expanded Universe comic Tales of the Jedi: The Sith War, Jedi Knight Cay Qel-Droma tries the "I'm not going to fight you anymore" appeal to his dark side brother, Ulic. It was not his best idea. Ironically, after Ulic cuts Cay down in a fit of rage, he does a Heel-Face Turn (complete with a My God, What Have I Done?) and that's when this trope shows up.
In the Usagi Yojimbo story "A Mother's Love", an old woman kills her wicked son and tearfully cradles his body, begging the hero to kill her in turn so she will not have to live after that.
The Batman story "Two Of A Kind" features a reformed Two-face planning to get married. However, he ends up having an affair with his fiance's twin sister, who murders her sister when he tries to end the affair. After killing her in revenge, Two-face holds her body in his arms and waits for Batman to come and take him back to the asylum.
At the end of Innocence Lost, X-23 cradles Sarah Kinney in her arms as the latter dies. And oh yeah, Sarah was Laura's mother, and she was forced to kill her via the trigger scent just as they were escaping the installation where Laura was bred, trained and tortured for thirteen years.
The opening vignette of Sin City, in which the Salesman does this to his mark, shown at the top of this page. Word of God states that the victim actually hired the assassin, and requested that he comfort her in her dying moments.
Featured in the conclusion of Sleepaway Camp. The killer, who turns out to be Angela, cradles Paul's severed head and strokes his hair.
In Smokin' Aces, Pasquale cradles Bill after stabbing him in the lungs. Pasquale gives him a beautiful, tormented and sincere send off... while Bill is too in shock to be anywhere near clever.
Happens in the end of Beyond Re-Animator. However, the killer only cradles the victim's severed head.
Although no cradling takes place, a similar scenario occurs at the end of Heat, when Detective Hanna mortally wounds McCauley and then holds his hand as he passes away.
In Red Dragon, Hannibal Lecter comforts protagonist Will Graham after stabbing him.
Hannibal Lecter: Shh. Don't move. You're in shock now. I don't want you to feel any pain. In a moment, you'll begin to feel light-headed, then drowsy. Don't resist, it's so gentle, like slipping into a warm bath. I regret it came to this, Will, but every game must have its ending.
Then he kind of ruins the oddly touching moment by saying "I think I'll eat your heart." Or perhaps adds to it in a strange way if you consider that Hannibal might be eating his heart because he has great regard for Will's courage and strength. Luckily for him, Will survives the encounter and gets Hannibal arrested.
In The Devil's Backbone Jaciento stabs Conchita while holding her in a tight embrace and cradles her against him before letting her fall to the ground.
The Mask parodies PietÓ Plagiarism and this trope when Jim Carrey/The Mask is shot by Darien's goons and collapses into one of the stunned henchman's arms. Carrey coughs out, "Hold me closer, Ed, it's getting dark," and rambles on until he appears to have died. The henchman, moved, starts weeping. The movie then Breaks The Fourth Wall as an audience appears in the foreground. Carrey cries, "You love me, you really love me!" and accepts an Oscar award as the villains in the shot look on self-consciously and smooth their hair. Of course, Carrey is unharmed and escapes moments later.
In The Return of Swamp Thing, Dr. Arcane finds out that Dr. Zurell sabotaged their experiment. He gets close to her by assuring her that he isn't angry, but then shoots her in the heart, killing her instantly. He lowers her gently unto one of the lab tables and says, "God will pardon me — that's his job."
Tales from the Darkside: The Movie, a monster disguised as a human being changes back into her original form and kills her husband when he confesses to her that he saw a monster (her, although he doesn't know this) kill someone years ago. The monster enfolds/cradles her husband in her bat-like wings and bites him on the neck, laying him gently on the ground as he bleeds to death. She then howls in remorse.
In X-Men: First Class, an interesting variation of this, which is more like "Cradling Your Cripple," happens when Charles Xavier receives his spinal injury. Moira MacTaggert tried to shoot Magneto after his Face-Heel Turn and he ends up deflecting one of the bullets into Charles, hitting him in the lower back. Erik Lehnsherr runs over and cradles him in his lap until he realises that Charles isn't likely to die. Magneto and his new minions are long gone before Charles voices that he can't feel his legs.
Inception showcases the stealth version early on. Later, there's an exceedingly odd variation: Cobb cradles his projected image of his dead wife as she dies a second time.
In Asian martial arts films there's a rather nasty move usually exercised by villains in which they cradle their opponent and proceed to break their spine (either over their knee or, alternately as seen in a Bruce Lee film) but simply crushing them.
In the film of Dune, Baron Harkonnen takes a slave, and pulls his heart plug, while holding him close. It has too much Squick to properly explain.
In Blade: Trinity, Danica Talos is laying on the floor hugging Hannibal King and whispering lovingly in his ear, while strangling him. He escapes as she dies so I'm not sure if this is an averted or a defied trope.
In one of the BattleTech/MechWarrior: Dark Ages stories, Alaric Ward does this. The victim was Katrina Steiner-Davion, his mother, who had counseled him to kill an ally, fearing for her own position and indirectly threatening his own. He even cried while doing so. Given that he was her son with her brother Victor who was born and raised with the sole purpose of bringing down the Inner Sphere...
In Robert Browning's poem "Porphyria's Lover" the disturbed viewpoint character describes how he gently strangles his love with her own hair and cradles her corpse all night long, to ensure she will be with him forever.
In Henry IV, Part I, many productions have Prince Hal holding Hotspur (who he's just fatally wounded) as the latter dies.
In the Mortal Instruments book City of Glass, Valentine holds his adopted son Jace (who he's just stabbed through the heart) while he dies, whispering, "My son. My boy."
In Season Two, Dexter injects Lila, his dark ex-girlfriend, with a spinal epidural and then carries her to the couch before laying her gently down and stabbing her through the heart. He then closes her eyes.
In Season Four, Trinity forces his first victim to lie with him in a bathtub, holds her close and says, "Shhhhh, it's already over," before cutting her femoral artery. He continues to hold her as she bleeds out and dies. Made even more horrifying by the fact that he's an extremely specific ritual serial killer and has probably done exactly this to dozens of women over the years... including Rita.
In the Season Seven finale, Debra shoots Maria LaGuerta who alternated between being her bitchy boss or some sort of a friend. Debra is horrified by what she did, runs to her to embrace her, crying the whole time.
On The Event, one of the aliens imprisoned in Alaska offers to give up the information on those living amongst human society if he and his girlfriend are released in exchange. To keep him quiet, his girlfriend stabs him while holding him close, pleading with him to keep imagining the future they could have had together while he dies.
In the third season of Battlestar Galactica, Saul Tigh is convinced that his wife, Ellen, has betrayed the human resistance movement by collaborating with the Cylons. The resistance leaders agree that she must be punished by death, so Saul volunteers to do the deed himself. He poisons her drink, and holds her as her last breath slowly slips away. This does his psychological state no favors.
Stargate SG-1's Sam Carter does this to Martouf after she is forced to kill him to foil his brainwashing-induced assassination attempt on the US President.
Merlin does this to Morgana near the end of season 2 after he poisons her. He's the protagonist and he's only trying to save all of Camelot, so his reason for cradling her while crying his heart out is probably guilt and heartbreak. He DID just try to kill one of his best friends. Though it should be noted that he's cradling his "kill," but she doesn't actually end up dying.
Law & Order: SVU: Elliot Stabler does this in the final episode of season 12 when he is forced to shoot a sixteen-year-old girl who has gone on a shooting rampage in the precinct, killing a social worker and wounding the men responsible for her mother's rape/murder. A devoted family man with a daughter of his own, Elliot rushes to her side and holds her as she dies. He is utterly heartbroken and retires.
In the sixth episode of Hannibal, the title character kisses the top of the head of a victim he is suffocating.
True Blood: After Eric seduces and murders Russell Edgington's lover Talbot, an increasingly insane Russell goes out and finds a male prostitute who resembles Talbot, puts a stake through his heart, and while the man dies says the heartfelt goodbye that he never got to say to Talbot. At the end, he cuddles with the body of the now dead man.
Assassin's Creed II has a little more fun with the trope. One of Ezio's victims sarcastically asks if he was expecting a confession. Ezio averts the trope when he stabs another victim in a manner that could not possibly be described as calm. And a third victim uses the moment to stab Ezio in the side. Generally, however, the trope is still played straight.
Thane Krios does this in his introduction scene in Mass Effect 2, shooting his target at point blank range, then gently arranging her body into a peaceful repose as she dies.
In The Gamers Alliance, Refan ends up doing this to Awar after he kills him in the aftermath of the siege of Vanna.
Though he only renders the target unconscious, Achilles of the Global Guardians typically does this to Mooks he's taken down when he's trying to be stealthy, just so the sound of their unconscious bodies doesn't alert anyone he's coming.
Dr. Horrible's Sing-Along Blog: It was an accident, but Dr. Horrible's death ray exploded in Captain Hammer's hands, making both of them somewhat culpable in Penny's death. Dr. Horrible carries her body to the emergency stretcher.
The ending credits for Zero Punctuation's review of Spec Ops: The Line show Yahtzee doing this after killing an Imp, as a parallel to how the game makes the player feel guilty for killing civilians.
Happens on many Bugs Bunny cartoons. Elmer (or whomever is hunting Bugs at the time, but mostly Elmer) thinks he's killed Bugs and cradles him as he "dies" - only for Bugs to get the best of him now that his guard is down. "What's Opera, Doc?" in particular is a good example.
An interesting version of this trope occurs in Teenage Mutant Ninja Turtles (2003), where Harry unwittingly causes Nano's "death" in S01 Ep05. Since Nano disappeared in a vat of molten liquid there was no body for Harry to cradle, but he found and picked up one of Nano's cracked masks that had escaped destruction. Holding it in his hands, Harry wept and talked to the mask as though it was Nano, apologising for what happened.
There's actually one practical reason for doing this. Covert operatives who are trained to kill people quickly and quietly (usually with a discreet knife stab) will grab their target and gently lower them to the ground so the thud of a body hitting the floor doesn't alarm anyone else nearby.