Babylon 5: Lieutenant Keffer, hotshot pilot, had an entire season of character development and screen time for the fans to get to know him. Then he's killed in the season finale so everyone would know the Shadows are back and ready to rumble. For fun, this was actually a Writer Revolt: The network insisted on the character.
Battlestar Galactica (2003): Skulls, Racetrack, Kat, Socinus, Crashdown, Jammer, Dualla, and even Cally are all given screen time, character development, and plot points (in some cases, entire storylines and multi-episode story arcs). And then they die just to show how shitty the situation was.
Boardwalk Empire: Plays this trope straight and hard in the second season finale when after seemingly having patched things up Nucky murders Jimmy after two seasons of him as the show's most important character besides Nucky himself.
In the fifth season, Max. They introduce him, give him strong characterization, show that he's one of the rare, unambiguously good guys, and then they kill the shit out of him. And frame Michael in the process.
In a villainous example (with a show that likes to keep around the really cool bad guys), Brennan is killed just before the season finale by another bad guy, "Dead" Larry.
Damages: Kills off two out of its five cast members before the end of the first season to establish that yes, Anyone Can Die.
Defiance: Two important characters are killed in the first season. Sukar and Kenya Rosewater.
Sukar is introduced as a father figure to Irisa and his death makes her faith stronger. Sukar's death is also a major plot point in one of the episodes.
Kenya Rosewater is shown as the proprietor of the local brothel, and was also Nolan's lover, and later becomes the Stahma's lover. In the finale, Stahma kills off Kenya to placate Stahma's husband. Kenya's death is used to demonstrate Stahma's loyalty to her husband and according to Word of God also set up major plot points in Season 2.
Agent Charlie Francis. After getting through the first season relatively unharmed, being established as Olivia's Wingman and one of the major Agents in Fringe Division, and surviving a M-Preg gone horribly wrong, we all assumed that Charlie had developed Plot Armor as one of the core characters. Then the writers have him killed by a shape-shifter who steals his form, who later dies anyways.
This also happens to William Bell and Alt-Broyles.
And then to Lincoln. A funny, friendly Badass who adored Fauxlivia, won the hearts of the fangirls and survived getting blown up.
Game of Thrones: Eddard Stark and Robert Baratheon are both reasonable if flawed men who establish in the first season that Anyone Can Die. A nice guy like Renly serves to demonstrate the power of a new faction introduced in the second season.
Mezool and Gamel from Kamen Rider OOO are also offed, but thanks to Uva, they came back to life halfway into the show. As it turns out, Greeeds can only truly die if their conscious cores are destroyed, and soon, they get Killed Off for Real. A Double Subversion right there.
Scorpio Zodiarts from Kamen Rider Fourze gets defeated... yet still hangs around for a few more episodes before he goes back into the fray again and gets defeated by the Second Rider. Despite living through that, Virgo comes and sends him to the Dark Nebula where he/shewill never be seen again. The Switch that he uses is kept though, and is used by both the Big Bad and his second Dragon for different goals.
Phoenix from Kamen Rider Wizard gets defeated introducing the hero's Mid-Season Upgrade... then he revives. After a few more revives (he is a Phoenix, after all), he gets kicked into the sun, trapping him in an endless cycle of death and rebirth. After that, the gears of the endgame begin turning. And no, he doesn't come back save for an Alternate Universe movie... where he gets offed again.
The Killing: Two back to back. Near the end of season 3, Bullet is shockingly murdered (off-screen) by the Pied Piper. The next episode, Ray Seward is executed in prison despite his innocence.
Boone Carlyle receives a good deal of character development before being the first main character to die, restoring a Anyone Can Die atmosphere to the show that it had lost after the first few episodes (thanks to the weird Disney Death of Charlie) and that it has maintained ever since.
The deaths of Sayid, Jin and Sun in the final season, which happened to show the audience that The Man in Black was truly the Big Bad.
NCIS: Kate Todd, made even worse by the fact that it was looking more and more unlikely since Reveille that Ari would actually kill her; he'd already almost bombed a cafe, but this showed that he wasn't going to stop until Gibbs was in mental agony.
Did this in the second episode (two-part season premiere) with the character Mike, leaving his brother Leo to take his place as the Red Ranger for the season. While Leo was obviously The Hero of the story from the beginning, such things never happen in Power Rangers.
Kendrix's death towards the middle of the season came as quite a shocking conclusion to the Power Rangers in Space crossover (caused due to the actress being diagnosed with leukemia and needing to leave for treatments). Both characters get better.
Danny Matheson in episode 11. What really hits home about his death is that the protagonists spend the first half of the season trying to rescue him and this happens right after the episode where he gets rescued. On the plus side, he saved a lot of lives as he died, and his death has inspired many younger people to join up with the rebels, such as Jason Neville in episode 13.
In the first season finale, Nora Clayton. She had spent almost the entire season working with Team Matheson in rescuing Danny and subsequently fighting the Monroe Republic. Episode 5 and episode 6 show her get stabbed non-fatally in the gut and almost die from an infection. Episode 8 expanded on her backstory along with her sister Mia Clayton. Episode 16 had her rekindling her relationship with her ex Miles...which made her death very upsetting for him.
Robin Hood: Roughly 40% of the guest stars that featured on this show, in particular Carter and Legrand.
Rome: Pompey Magnus. Of course, it wasn't a surprise to anyone who knew their history, but being killed halfway through the first season after the show had been focused entirely on the rivalry between him and Julius Caesar still makes it feel pretty abrupt.
The destruction of the USS Odyssey in Starfleet's first engagement with The Dominion also counts; by the writer's admission, it was a Galaxy-class starship in the same family as the Enterprise to give the audience the idea of what could have happened to the actual Enterprise in that situation.
An element of Fridge Brilliance kicks in when you remember that that's exactly what all the Red Shirts died for in the Original Series—the only difference is that this time the audience knows the Red Shirt in question.
Supernatural: Damn near everyone. In particular, Ash and the Roadhouse in "All Hell Breaks Loose, Part One", John Winchester in "In My Time Of Dying" (all for the Yellow-Eyed Demon), Henriksen in "Jus In Bello" (for Lilith), and Jo and Ellen in "Abandon All Hope..." (for Lucifer). Another possible example is Kubrick in "Fresh Blood", who seemed to be getting set up as another recurring antagonist, only to be killed by Gordon in his second episode. Not to mention Bela in "Time Is On My Side" (to remind us of what's about to happen to Dean) and Anna in "The Song Remains The Same" (angels can stay dead and Heaven's torture is very bad news). Then we have theImpala, which doesn't die, being a car, but does get hidden away for most of season seven after "Slash Fiction" to emphasize the Leviathan threat.
Torchwood: Captain Jack seems like this at first in Doctor Who. The Daleks drive him and his army into a corner (Not to mention they also go to the lower floors of a space station just to wipe out the humans hidden away there). Everybody's dead, and his machine gun's running out of ammo. He pulls out a pistol and fires, quickly running out of bullets. He relents, and asks what the Daleks are going to do:
The Tudors: Cardinal Wolsey's banishment from court and subsequent execution could arguable be a drawn out version of this trope. The show had taken the time to build up Wolsey and establish him as a major force in the royal court and politics of Europe and billed the actor as a member of the main cast. His downfall helped establish Henry's fickle nature and demonstrate that in Real LifeAnyone Can Die. Though he wasn't executed.
The execution of Thomas More halfway through Season 2 also applies here. More is portrayed right from the start as King Henry VIII's closest advisor and personal friend—More is practically the only character who addresses the king as "Henry" or "Harry", rather than "Your Majesty". Until the second episode of Season 2, he is Henry's Chancellor. Henry then has him beheaded a few episodes later.