Technically, in the manga they die at the same time.
Same goes to Lord Montague, who perishes in the arms of both Romeo and Juliet.
In Angel Beats!, Kanade Tachibana aka Angel finally manages to pass on in Otonashi's arms.
Masaki in young Ichigo's and Shiba Kaien in Rukia's in Bleach. Subverted a little with Orihime whose brother (presumably) didn't die in her arms but his ghost did.
While it was more a case of Rangiku crying over his broken, dying body, this appears to be the fate of Gin.
L in Light's in Death Note, although Light cradling L in his arms as he dies is actually just an act; when Light thinks nobody but L can see his face, he flashes a smugly victorious Slasher Smile at L just before L expires. However, if you ask the shippers...
And then there's Lelouch, who was in Suzaku's arms for a while, but died in Nunnally's in the end.
Rolo in Lelouch's arms, Euphemia in Suzaku's arms, Marianne in Nunnally's arms in the past, and C.C. in Lelouch's arms in the beginning, though she recovered.
In Rurouni KenshinTomoe died in Kenshin's arms after he accidentally attacked her with his katana. In the OVA, this is when she decides to add the other stroke of his cross-scar (in the original, the scar happened accidentally).
Pip Bernadotte in Seras' in Hellsing. Though technically he was just absorbed.
Sailor Mars dies in Sailor Moon's arms in the climax of Sailor Stars.
Prince Diamond dies in Sailor Moon's arms as well.
Mamoru, in his first death.
Nephrite and Blue Saphir, whose Redemption Equals Death demises happen while in Naru's and both Moon and Tuxedo Kamen's arms, respectively.
Kakyuu dies in the arms of the three Starlights.
In the manga, it was Kakyuu in the arms of Sailor Moon.
Zoisite in Kunzite's arms.
Weiss Kreuz gets some mileage out of this one: Aya gets to both Asami and Sena just in time for this, Sister Ruth dies in the arms of both Ken and Omi, Nagi catches Tot as Fafarello stabs her (she recovers) and has a nice Freak Out, and, most dramatically of all, Ouka Sakaki is shot as Omi embraces her, telling her they'll always be together...
In Mahou Sensei Negima!, Emily Sevensheep dies (or better said, was written out of reality) in the arms of Yue Ayase.
Also a Senseless Sacrifice, as she died making a Diving Save, against a projectile which wouldn't have even harmed the intended recipient. She had no way of knowing that...
In InuYasha Kikyou dies in the title character's arms the final time, after a Last Kiss.
In X1999 Seishirou dies in Subaru's arms at the Rainbow Bridge. Also potentially subverted when Kotori is killed, and once everything has died down, Kamui cradles her severed head while the Seals look on in horror.
In Bokurano, Anko dies in either Kanji's arms or her dad's, depending if you're following the anime or the manga.
Yu-Gi-Oh Season 4: Joey dies in Mai's arms (it turns out to be of the undoable kind).
Yu-Gi-Oh Season 5: Kisara dies in Seto's arms.
Yu-Gi-Oh! 5Ds: Carly dies in Jack's arms (undone at the end of the season).
In the same season, Kiryu dies in Yusei's arms, complete with Ho Yay shoujo sparkles.
Happens in Rozen Maiden on two separate occasions. First, Souseiseki dies in Suiseiseki's hands after a futile attempt at taking on Suigintou, made especially heartwrenching because Suiseiseki had desperately tried to convince her not to do it up to that point. In the very next episode, Hinaichigo slowly unwinds during the course of the episode and finally in the hands of Tomoe.
Julia dies in Spike's arms in the last episode of Cowboy Bebop. Her death scene is iconic as well as heartbreaking (until Julia was made to sing "(I Just) Died in Your Arms Tonight" in one of the AMV Hell compilations).
Alfeegi in Dragon Knights dies in his friend's arms after he was stabbed by the main character, who later cut off his own head.
Berserk: Judeau dies in Casca's arms (sort of) after shielding her from a demon attack during the Eclipse. Made even worse by two additional heart-wrenching factors: his love was unrequited, and she didn't even know how he felt. Worse, in the manga, the poor guy doesn't even succeed in spitting it out before he dies.
Another instance of this trope occurs in Gantz, where the protagonist's girlfriend Tae Kojima dies in his arms after being hunted down and murdered.
In Future War 198X Michael frantically searches for Marina after a fight breaks out in Neinberg, only to find her crushed under the rubble of a building. He pulls her out and she dies in his arms.
During the Fourth Shinobi World War, Neji really does die in Naruto's arms.
In S-CRY-ed, Ayase dies in Kazuma's arms when she loses the will to live. It sounds a bit idiotic, but it's justified in that being refined weakened her body severely, so the only thing she was living for was her brother. When he died, that was it.
In Gungrave episode 24, Sherry ended up taking a bullet meant for Harry when he was attacked by an assassin. Harry screamed her name while he clutched her to his chest.
Near the end of the Vamdemon arc of Digimon Adventure, Wizardmon died in Gatomon's arms after Taking the Bullet for her and Hikari. Then we have Wormmon in Digimon Adventure 02, who died in Ken's arms to kick-start his Heel Face Turn. Wormmon got better... Wizardmon didn't.
In Tiger & Bunny, the end of episode 24 has a scene that looks like a classic example (which all the characters believed it to be), but this was subverted as of ep. 25.
Inverted in JoJo's Bizarre Adventure during Phantom Blood's (the first part of the Manga) ending, where Jonathan Joestar dies while holding Dio Brando's severed, but quite alive, head in his arms.
It's also played straight at some points too, like earlier on when George Joestar, Jonathan's father dies on his arms after being stabbed by Dio.
Hare, while being eaten alive by the Apocalypse Virus, dies this way in Guilty Crown. Averted, she was already dead, but her body shattered in Shu's arms.
Though it's not shown in the final version Izumi died in Wrath's arms according to an early script for the first Fullmetal Alchemist movie, complete with her going out with a smile.
In the manga version of Chrono Crusade, Rosette does this in Chrono's arms. Twice.
In episode 14 of Sword Art Online, Asuna does this to Kirito after taking an attack meant for him. Thankfully, Kayaba put her in the waiting room rather than having her brain fried immediately, so when Kirito won the game a minute or so later, she was able to survive.
Elektra had her first death in Daredevil, after taking a vicious curbstomping from Bullseye that ends in her throat getting slashed by a thrown card and then her getting impaled on her own sai, Elektra crawls out from the parking lot they were fighting in. She stays alive long enough to crawl to Matt's house and call out to him, before dying in his arms
On one occasion, it was a Berserk Button for Namor that entirely too many people over the years had died in his arms after Taking the Bullet for him, and the latest one didn't even get to speak any Last Words.
While he was technically already dead, Jason Todd (Robin II) was held in the arms of Batman during A Death In The Family.
Troia died in Nightwing's arms in Graduation Day. As they were each other's closest friends and Like Brother and Sister, it really messed him up.
Done, by all people, Wolverine in a What If? comic. Granted, he had just killed his son Daken and was moments away from killing himself but it doesn't make it any less sad.
The Ultimate universe's version of Peter Parker ended up dying in Mary Jane Watson's arms, after succumbing to wounds he received after Taking the Bullet for Captain America and fighting the Green Goblin and (what was left) of the Sinister Six to protect her, Aunt May and Gwen.
And in the Amazing Spider-Man comic, Spider-Man cradles Gwen's body in his arms as he cries out that the Green Goblin will pay in the end of The Night Gwen Stacy Died.
In the Belgian comic Papyrus, the issue Tears of the Giants finishes with Papyrus cradling and later carrying the lifeless body of a Hitite princess who loved him but couldn't spit it out since she was to marry the Pharaoh aka Papyrus's boss, and could only tell him as she lay dying in his arms.
Fan Fiction
Done brilliantly in Last One Standing. Twilight Sparkle dies tucked under Celestia's wing.
Blade 2 - Nyssa disintegrates in the sunlight while Blade cradles her.
Fiamma dies in Miss. G's arms in Cracks. Subverted in the fact that Miss. G is killing Fiamma by withholding her inhaler while she has an asthmatic attack.
In Galaxy Quest, Quellek gets shot by one of Saris' minions after he and Dr. Lazarus free some Thermians from certain death. Before dying in his arms, Quellek tells him that the doctor was like a father to him. Dr. Lazarus quotes his famous line seriously for the first time in the film before rushing and attacking the minion, who's having some gun jamming issues.
Somewhat cruelly subverted in John Woo's The Killer when the title character dies. He and his love interest Jenny miss each other as they grope for each other on the ground near the burning church due to both of them being blind at this moment, Jenny due to the tragic mistake that kicked off the whole thing, and Ah Jong due to getting shot in the eyes by Wong Hoi. The reason the scene came out like it did was because Chow Yun-Fat and Sally Yeh, the actors of the two in question, could only be scheduled to shoot on different days.
in The Lord of the Rings, King Théoden dies in Éowyn's arms during the battle of the Pelennor Fields.
Morgan Earp dies in his brother Wyatt's arms in Tombstone.
Morgan Earp: Remember what I said about people seein' a bright light before they die? It ain't true. I can't see a damn thing.
Maybe. It's actually pretty ambiguous on whether White shot Orange or if the cops just started shooting at him before he would have the chance. This is Tarantino we're talking about here, so this is probably completely intentional.
The original ending to Little Shop Of Horrors has Audrey dying in Seymour's arms after the plant, Audrey II, tried to eat her.
Serenity: Shepherd Book dies in Mal's arms after the Alliance attacks Haven.
The Phantom Menace ends with Qui-Gon Jinn dying in Obi-Wan's arms. (This seems to happen to Ewan McGregor a lot and also to the character of Obi Wan - who never had an official love interest in the movies, but he has several in the Star Wars EU and they all seem to go out this way.)
In Onmyoji, Hiromasa dies in Seimei's arms. However, he gets better.
The Live-Action Adaptation of Death Note had Light dying in his father's arms (made all the more poignant on Soichiro's part by the fact that Light tried to kill him only minutes before).
There is a variation of this trope at the end of The Boondock Saints. Rocco is shot while tied to a chair, which is knocked down by the force of the shot. Connor andMurphy are tied to chairs on either side of him, and Murphy falls to the ground beside him, taking his chair with him. While there can be no arms involved (because they are all tied), Rocco dies with Murphy's head buried in his shoulder while the brothers scream with grief. It is a very touching scene, and conveys the general emotion of this trope, complete with Rocco's Famous Last Words.
Tangled: Flynn/Eugene dies in Rapunzel's arms. Thanks to a teardrop and the healing incantation, he gets better. The position of the characters in this scene is very reminiscent of...
Beauty and the Beast: Beast dies in Belle's arms. Thanks to Belle's timely, spell-breaking "I love you," he recovers.
Adam Sandler's character in Click dies in the arms of his son. However, it turns out to be a dream of sorts.
Romeo dies in Juliet's arms in Baz Luhrmann's adaptation of Romeo and Juliet, in which he takes the poison right when Juliet awakens.
Subverted with Jason in the climax of Mystery Team.
Barry Lyndon had a slight variation with the title character's son Bryan in that the actual death occurs off-screen. Nonetheless, this is still his last scene and it involves him lying in bed and holding the hands of both of his parents as they try to comfort him before the movie suddenly cuts to his funeral.
Inverted in Once Around — Sam Sharpe dies while holding his newborn daughter in his arms.
A version in Inception: Mal is already a Posthumous Character, but she "dies" one last time in Cobb's arms when Ariadne shoots her in Limbo, where Cobb is finally able to make peace with her death and let her go.
1408: Room 1408 gives Enslin has a vision of his already dead daughter. She dies in his arms, and then her body crumbles into ash. And the room keeps going.
Parodied in the first ending of Wayne's World.
Literature
In William Shakespeare's "Much Ado About Nothing", Benedick swears to Beatrice that he will die in her arms. Typically for Shakespeare, however, it's a Double Entendre; yes, he is swearing to be with her forever, but he's also using "Die" as a euphemism for accheiving sexual release...
In Captain Corelli's Mandolin, Carlo holds Francesco when he dies, telling him that he always loved him.
In The Song of Roland Roland's best friend Olivier dies in his arms while Roland weeps.
In Wolf Hall, Cromwell's youngest daughter dies in his arms. It's done very, very well.
Dobby does this in Harry's arms. Later, so does Snape.
In Evangeline, A Tale of Acadie, by Henry Wadsworth Longfellow, Evangeline tracks Gabriel from Canada to Louisiana only to find him moments before his death.
Hank Rearden picks up the Wet Nurse and carries him until after his death in Atlas Shrugged.
An interesting example occurs in A Song of Ice and Fire: Joffrey Baratheon dies in the arms of his helpless, grief-stricken mother Cersei. To a person who doesn't know the series, the scene could definitely be considered tragic. But since the two characters are generally considered villainous— Joffrey in particular— by those who read the books, it's not very sad and can even count as a Karmic Death for Joffrey.
Subverted in Artemis Fowl when Artemis sacrifices himself to bring down Opal Koboi. He is dead before Butler can catch him.
In Cold Mountain, Inman dies in Aida's arms after being shot by the Home Guards.
No character ever dies alone in Percy Jackson and the Olympians. All deaths are slow, and many in the arms of a significant other, platonically or otherwise;
Zoe Nightshade dies in the arms of her beloved goddess Artemis from internal bleeding.
Silena Bauregard dies in the arms of her unlikely friend Clarisse La Rue.
Luke Castellan dies in the arms of his former adoptive little sister Annabeth.
The anarchist murdered at the start of Death at Victoria Dock dies in Phryne Fisher's arms.
In the book version of Les Misérables, Éponine dies in Marius's arms, declaring with her last breath that she was in love with him.
Live Action TV
On Star Trek: Deep Space Nine, Weyoun 6 dies in Odo's arms after activating his termination implant. ("Treachery, Faith, and the Great River") His last request is that Odo, whom his species regards as a god, perform a blessing.
In Smallville, Kyla dying in Clark's arms played it dead straight. Alicia is already dead when he held her in his arms, he didn't quite hold Evan in his arms, Chloe in Arrival didn't manage to die, but the dialogue just before almost have you worried. Chloe in Labyrinth also dies in Clark's arms after being shot in the chest. But All Just a Dream. A really horrible one at that.
In Phantom and the next episode, Bizarro, Chloe and Lois manages to die in each other's arms, separately. Lois is stabbed, Chloe arrives and weeps over her body, which heals Lois but instead kills Chloe.
In Odyssey, Clark (almost) dies in Chloe's arms. Extra emotional impact comes from that Green Arrowshot him and Chloe tries and fails to heal him.
In Bride, Jimmy almost dies in Chloe's arms, right after they get married. He died for real in Chloe's arms in Doomsday, complete with Dying Declaration of Love.
In Injustice, Chloe dies in Clark's arms, but in another twist, it is actually Eva in disguise.
In Kandor, clone Jor-El dies in Clark's arms.
In Revenge Amanda dies in Emily's arms on a sinking life raft in the middle of the ocean after their poignantly named boat, The Amanda, explodes and sinks.
The Evil Queen dies in Virginia's arms in The 10th Kingdom after trying to kill her and being hoist on her own petard. As she dies, the memories of her past life come flooding back and she caresses Virginia's cheek whispering "My little girl - I gave away my soul."
In Doctor Who: The Master (in “The Sound of Drums”) and Jenny (in “The Doctor’s Daughter”) both die in the Doctor’s arms. Both get better.
At the end of The Pandorica Opens, Rory is last seen cradling the body of Amy, half-fallen away from him after he accidentally shot her. Don't worry, she gets better too.
Also, "Amy's Choice". In the world in which Amy and Rory are married and have settled down, Rory disintegrates slowly and dramatically in Amy's arms. Only in an alternate dream world, though.
Again with Rory in “The Curse of the Black Spot,” when Amy has to resuscitate a drowning Rory and thinks she failed.
In “The Doctor’s Wife,” Idris’ human form gives out while being cradled by Rory. But since she’s actually the TARDIS, all her energy and consciousness goes back into the TARDIS itself and normalcy is restored. But the interaction between her and the Doctor in this scene is still quite the Tear Jerker.
Promotional art and sneak-peek photos for the upcoming season 7 appear to feature, among much other Pond-centered angst and drama, Amy dying in the Doctor’s arms.
In order of death: Estelle, Tosh, and Ianto in Jack’s arms in Torchwood.
Nathan Petrelli dies in Peter's arms in the second season of Heroes (though he gets better); Daphne Millbrook dies in Matt's in the third season. Also, Claire Bennett dies in her mother's arms in one of her many, many deaths in the first season.
The Season 3 finale "The Graduates" of The O.C. - due to a car-crash, Marissa dies in Ryan's arms.
Fred in Wesley's arms before her soul is consumed by Illyria. A few episodes later, Wesley dies in Illyria's arms while Illyria takes the form of Fred.
Illyria: Would you like me to lie to you now?
In the Mork and Mindy episode "Mork In Wonderland", Mindy's alternate universe counterpart, Mandy, dies in Mork's arms, telling him that Mindy is a lucky woman.
Los Hombres De Paco: After getting gut-shot on her friggin' wedding day, Silvia spends the rest of the two-hour season finale suffering until she finally dies in the arms of her new wife and her father. In the same finale, Kiki died in Paco's arms and Rita was in Montoya's arms when he died. There wasn't anything the rest of the team could do except sing to the ones dying because cell phone service was cut off by the ones shooting the people at the wedding. Kleenex please.
Iolaus had died twice in Hercules' arms previously.
Supernatural: Sam is stabbed in the back severing his spinal cord as he and Dean are reunited at the end of the penultimate episode of season 2. Sam dies in his arms, but Dean makes a deal with a demon to bring Sam back.
Actually subverts the usual form of this trope in that Sam doesn't get a chance to say goodbye or really anything at all—he just gets stabbed in the back, falls down, looks vaguely unfocused and dies. He barely seems to register Dean's presence.
As a result, at the end of season 3, Dean dies in Sam's arms.
Dean dies in Sam's arms three times (at least) in 'Mystery Spot'.
Actually, it's six times.
Jo dies in her mother's arms. Made even more tearjerkier when Ellen makes a Heroic Sacrifice shortly after.
Marian dies in Robin's arms in Robin Hood at the end of season two, surviving a fatal sword wound just long enough for them to finish their wedding vows.
Gene Hunt in Ashes to Ashes holds Sally (the prostitute from Hyde in 2.1), Supermac and Martin Summers in his arms as they die. This is much more allegorical than what is presented on the surface, because as is revealed in the Grand Finale, Gene Hunt's abilities as a psychopomp include being able to transfer a persons soul to the afterlife by holding the dying person in his arms. In Season 3 the word "soul" is also vaguely whispered when this occurs.
However, this can only work if the dying person had a soul, i.e. if they are real as opposed to being collective constructs or creations to help the protagonists with their indvidual journeys.(Which Sally and Mac likely are.)
Jim Keats in the same show, who holds both Louise (the undercover police officer) and Viv in his arms. It later emerges that at least in Viv's case they probably went to hell as Keats was the devil.
Gene Hunt also held Viv however, meaning that Viv might have gone to heaven (as indicated by the accompanied whisper.) However, if Chris's dream later in the series is correct, Viv is indeed in hell.)
Gene: I'll take him.
Keats: It's too late Gene.
Gene: I'LL TAKE HIM!
In Spooks, Fiona dies in the arms of her husband Adam after being shot by her ex-husband who had come Back from the Dead. Her dying wishes that he look after their son Wes made it even sadder
In Touched by an Angel, a few of Andrew's assignments die in his arms, such as in the season five episode, "The Peacemaker."
The groundbreaking M*A*S*H episode "Sometimes You Hear The Bullet," in which Hawkeye's friend (author of a book he was writing under the episode title) dies on the operating table. Hawkeye asks why he weeps for his friend and not the kids who have died before, and Henry rationalizes only this:
Henry: All I know is what they told me at medical school. Rule one: Young men die. Rule two: Doctors can't change rule one.
LOST: Sawyer holds Juliet as she dies in the final season opener.
Sharpe: Poor young Perkins dies in Harper's arms, surrounded by the other two supporting members of The Squad, after being gutstabbed.
Kai's second death in Kyoryu Sentai Zyuranger occurs this way, after he is badly burned during the 2nd destruction of Dora Talos. Losing her son a second time causes Bandora to shed a tear, robbing her of her witch powers.
The Outer Limits episode "Corner of the Eye'': Two best friends successfully foil an alien invasion, then one dies of his injuries in the other's arms.
Misfits: Future!Simon dies in Alisha's arms after taking a bullet for her.
And then in season three, ALISHA dies in SIMON'S arms. It's that sort of a show.
24: Although they're already dead by the time they find them, both Jack Bauer and Tony Almeida respectively cradle their wives' bodies when they're killed in the first and fifth seasons (in Tony's case he isn't given much time to mourn since he gets caught in an explosion that nearly kills him too). It's played straighter later on in season five when Tony dies with Jack holding onto him. Of course, in Tony's case, he recovers.
Monk: In "Mr. Monk and Mrs. Monk" Monk holds onto a woman who looks just like his late wife as she dies. This sends Monk, who's been finally starting to recover from his phobias after they went overboard after his wife's death, into a horrible relapse.
Merlin: Merlin has had a fair few people die in his arms. In series two, his girlfriend Freya and father Balinor both ended up dying in his arms. In the show's final episode, The Diamond of the Day Part II, it was Arthur who died in his arms from the wounds inflicted by Mordred.
Also in the final episode, Gwaine dies in Percival's arms after being horrifically tortured for Arthur's whereabouts by Morgana.
In the first part season three finale of Chuck, Chuck cradles his father Stephen as he dies after being shot by Shaw.
I died in your arms tonight, I slipped through into the afterlife, It was nice.
"This is because I can spell confusion with a K and I can like it/It's to dying in another's arms and why I had to try it..." Konstantine, Something Corporate.
"My Last Breath" by Evanescence. The narrator in the song is dying, and singing the song to her lover.
Concrete Blonde's 'The Sky Is a Poisonous Garden'.
J. Frank Wilson's Last Kiss (The Pearl Jam version is a cover.):
But somehow I found my baby that night I lifted her head, she looked at me and said, "Hold me, darling, just a little while." I held her close, I kissed her our last kiss; I found the love that I knew I had missed. Well, now she's gone, even though I hold her tight. I lost my love, my life, that night.
The song "El Paso" by Marty Robbins, told in Posthumous Narration, ends with the cowboy dying in the arms of his Spicy Latina lover Feleena after being fatally shot down by a posse for killing a guy who tried to rape her. The song's sequel confirms this, as his death also drives her to suicide.
In many if not most productions, Hotspur in Prince Hal's (also a case of Cradling Your Kill, with a dose of Foe Yay).
Schiller's Kabale und Liebe: Luisa to Ferdinand.
Mimì in Rodolfo's arms in La Bohème by Puccini; subverted in the modern musical Rent, where Mimi has a new lease of life.
Then played straight in Rent, when Angel dies in Collins' arms.
Many, many operas and ballets based on Abbé Prévost's character Manon, who dies in the arms of her lover Des Grieux.
In the famous dramatization of East Lynne, Lady Isabel, disguised as Madam Vine, takes her son William into her arms in his dying moments, and asks him to call her his mother. He does so, and dies. Isabel's ensuing lament that her child died without knowing she was his mother is famous although invariably misquoted.
In Aida, the titular character's former servant Mereb dies in her arms, fatally injured trying to protect her and her father.
Aida and Radames die in each other's arms in the tomb.
King Lear: "Enter Lear, with Cordelia dead in his arms."
In Dream Girl, in the Dream Sequence where Georgina becomes a fallen woman, she takes a lethal dose of poison and melodramatically collapses into the arms of the brother-in-law she used to love.
Video Games
In Mass Effect 3 this can happen with Conrad Verner in one of the ways his story is resolved.
Also hilariously subverted, as depending on your actions, Conrad has the touching death scene with Shepard... only for another of Shepard's old acquaintances, Jenna, to reveal that she sabotaged the gun and that Conrad was never shot at all.
Miranda if you don't complete certain prerequisites.
The first Baten Kaitos game has Xehla die in Kalas's arms after you beat the final Big Boss.
Nanami in Riou's in Suikoden II. She gets better if you collected all 108 stars before this scene.
Steve Burnside's in Claire Redfield's in Resident Evil Code Veronica. Alfred's just a bit too late for him and Alexia to do this in the same game, also Luis to Leon in 4 to a lesser extent.
In Fire Emblem 7, Ninian is seen in Eliwood's arms in the CG that follows her death scene.
In another CG, Archsage Athos dies in Hector's arms. 20 years later, according to Fuuin no Tsurugi, Hector himself would perish in the arms of Roy.
And in Fire Emblem The Sacred Stones, if you chose Eirika's path, the first CG you see in the epilogue shows her holding the dying Queen Ismaire in her arms.
In Project Justice's Taiyo High ending, Hyo dies in his brother Kyousuke's arms.
Kingdom Hearts: 358/2 Days has Xion's death, or rather Xion's individuality as a separate being. As it wasn't depressing enough already imagine dying in the arms of someone who's forgetting you even as he tries to hold on.
Kingdom Hearts almost did this when Kairi is revived and Sora has stabbed himself with the Keyblade of People's Hearts. Sora falls backwards, Kairi goes to catch him, and...he disappears, sparkling out of existence. Yes, folks, this is when Roxas was born.
In Mega Man X 4, if you choose to play as Zero, after you defeat Zero's love interest, Iris, Zero cradles her in his arms until she "dies". A rather touching scene, if you can get past the bad voice acting.
A few Dynasty Warriors/Samurai Warriors endings have a character's love interest dying like this. In at least one case, it's because the player killed him.
As an another addition, Persona 3 Portable's ending on a New Game Plus gives the protagonist (you) the choice to meet whomever you've maxed your Social Link with romantically to die in their arms. For the female protagonist, this includes Shinjiro Aragaki, who merely woke up from a coma three days before.
Chidori romantically dies in Junpei's arms after performing a Heroic Sacrifice to save him from dying of a bullet wound by infusing him with her Persona's power. In P3 FES, she can get better if you fulfilled certain requirements before the scene.
And in Persona 2: Innocent Sin's ending, Maya dies in Tatsuya's arms.
A couple of examples of this in the .hack series:
Mia dies in Elk's arms after the party defeats her true form Macha the Temptress, the sixth phase of the wave. She gets better..
Alkaid gets data-drained by an AIDA and "dies" in Haseo's arms, providing one of the saddest cutscenes in the G.U. games.
In Tales Of Monkey Island Chapter 4: The Trial and Execution of Guybrush Threepwood, Guybrush finds Morgan LeFlay mortally wounded by her own Blade of Dragotta and runs to her side, holding her in his arms (or rather with his hook hand) as she slowly dies after telling him about the incident in the Marquis De Singe's lab.
Also, Elaine holds Guybrush in her arms as he is slowly dying from his wounds inflicted by LeChuck's Cutlass of Kaflu, and after she tearfully makes her promise to stop LeChuck for him, Guybrush slumps down to the ground as he dies while still in her arms. (He gets better later in Chapter 5.)
Depending on your choices throughout the game, any of your team members in Mass Effect 2 can die in Shepard's arms during the assault on the Collector Base
Bioware does it again in Dragon Age II: Hawke's mother dies this way.
Nier's third ending has Kainé dying in your character's arms after you kill her when the Shade inside her takes control. There's also Fyra in the King's, and Devola in Popola's.
Growp from Spacetrawler, in the process of being disintergrated, is caught in the arms of Emily before confessing his love. He proceeds to break up into small pieces.
TAL has Hiljo's death in Chapter 47, in which he dies in Yu Jin's arms. Doubles as Tear Jerker when Haje and Jenna, who he raised from their childhoods, show up; Jenna panics, noting that Hiljo isn't moving or breathing, and asks Haje what they should do... Haje, being mute, can do nothing but cry.
In the 10th season Red vs. BlueCT in the arms of The Insurrection Leader after being mortally wounded by Tex
A fan's take on a Team Fortress 2 "Meet the Spy" animation has the Spy over-selling his "death" to an Engineer who just shot him, collapsing dramatically into the Engineer's arms (complete with Pietà Plagiarism), so he can have a point blank shot to the Engineer's head, just as planned. (See it here.)
Beast Wars: Silverbolt thinks this happens with Blackarachnia (complete with Big "NO!"). Rattrap and Rhinox let him get it out of his system, before mockingly pointing out that she's merely in Stasis Lock.
Aang dies in Katara's arms in the season two finale. He got better with the assistance of the spirit water and Katara's healing powers, though he can't access the Avatar State until the final battle against Ozai.
In "Omens Part Two" he holds his father King Claudus as he dies having been stabbed In the Back by the series Big Bad, and Claudus has just enough time to tell Lion-O he's So Proud of You.
In "Song of the Petalars" Lion-O holds his LilliputianPlant Person friend Emrick in the palms of his hands, as Emrick dies of old age, due to his race's one-day lifespan. Lion-O grieves that Emrick hasn't achieved all his goals, but Emrick, who by his reckoning has led a rich, fulll lifetime, assures him that Its The Journey That Counts.
Yakko Warner cradles his sister Dot as she dies near the end of Wakko's Wish, breaking down in tears as she makes him tell her special story "one last time." We see later she, and arguably he, were just acting but it's no less heartbreaking to watch.
, "(I Just) Died in Your Arms"
