Kaileena from Prince of Persia: Warrior Within plays a pivotal character and the main antagonist in the game who is spared by the Prince at the end of the true (hidden) ending... only to be killed off within the first 15 to 20 minutes of the third game in the series, Prince of Persia: The Two Thrones. Subverted in that she continues to narrate the game after her "death", and is ultimately restored to her true form once the Prince defeats the Vizier.
Simone Taylor was one of three characters to survive 5 Days a Stranger, the first game of the Chzo Mythos. (The second character would come down with a case of Chuck Cunningham Syndrome shortly afterward, and the third was the player.) The second game, 7 Days a Skeptic, is set in the distant future, and the player finds a letter that mentions, among other things, that Simone was killed very shortly after the events of 5 Days. The third game, Trilby's Notes, goes back and actually is set very shortly after the events of 5 Days and the prologue/tutorial ends with the discovery of Simone's body.
Johnny Cage is killed off off-screen prior to the events of Mortal Kombat 3, then brought Back from the Dead in 4, Liu Kang is killed off at the start of Deadly Alliance before being brought back as a zombie later, and a large number of the Earthrealm warriors are killed at the beginning of Deception. They are all brought Back from the Dead for Armageddon, though.
In Grand Theft Auto V: in Trevor's introductory cutscene, he walks up to Johnny Klebitz (the lead protagonist of the Grand Theft Auto IV: The Lost and Damned) and, after a short conversation, proceeds to bash the latter's brains in. The mission immediately following this has Trevor massacre all of the surviving members from the Alderney chapter, including Terry Thorpe and Clay Simons. Additionally, Ashley Butler can be killed by Trevor as she's grieving over Johnny's body; if not, she is revealed in a news report to have died during a meth orgy.
Bottles in Banjo-Kazooie serves to teach Banjo and Kazooie new moves. In the opening cutscene of Banjo-Tooie, he gets killed off by Gruntilda, with some Lampshade Hanging: "He wasn't the favorite character in Banjo-Kazooie anyway," Kazooie says. He comes back to life in the end, though.
Liam Spencer from The Getaway. You don't even know he survived the events of the first dame until you find his corpse in the second level of the second game.
Harry, the protagonist of the first Silent Hill game, is killed in the third (since the second was a standalone story) after being ambushed in his home by a boss-type mook, without his weapons.
Instead of attempting to Road Cone which girl ends up with the Protagonist from the first Sentimental Graffiti, the second game opens up with the new protagonist meeting all of the girls at the first's funeral (he died of a car accident).
In Killzone 2, the heroes of the original Killzone all appear as Older and Wiser NPCs helping the new player character Sev, until they all end up getting killed over the course of the game. Killzone 3 confirms that only Rico survived.
Brad Vickers survives the events of the first Resident Evil, only to make a hidden cameo in Resident Evil 2 as an overpowered zombie who carries with him the key to the wardrobe locker. In the beginning of Resident Evil 3: Nemesis, it turns out that Brad was hunted down and killed by the Nemesis a day before the events of the previous game.
16 possible party members from the first Baldur's Gate game who make an appearance of sorts as NPCs in the sequel. Five are party-joinable members: of the rest, over half end up dead. Of particular note are Dynaheir and Khalid, who are killed off shortly before the game even begins - this being of import because the sequel assumes they were in your party at the end of the first game (which is highly likely assuming you played a Good alignment and met them early on in the main questline: the "canonical" party includes them and their respective partners Minsc and Jaheira, both party-joinable but newly single in the sequel, and Imoen who turns out to be your sister, and makes major plot points out of all of these events.) Of the rest: Faldorn ends up as an evil sidequest boss you have to kill, Montaron and Xzar both die (one onstage, one offstage) as a result of Harper/Zhentarim factional bickering, Ajantis is killed by your own party while both of you are under an illusion spell and you don't even get to learn his identity unless you have a paladin or knight in your own party, Tiax dies in a battle in the asylum, Safana is killed by werewolves in a battle which Coran will probably also die unless the players win the fight fast enough. With Viconia and Edwin also being party-joinable, only Quayle and Garrick actually survive their appearance as non-joinable NPCs
Master Miller was one of Solid Snake's radio support crew in Metal Gear 2. In the sequel, Metal Gear Solid, Miller gets killed off-screen and impersonated by Solid's evil twin, Liquid Snake, a fact that isn't even revealed until it is casually mentioned just when Liquid is done with the ruse.
MGS4 also kills off two rather important characters from Metal Gear Solid 3, namely Para-Medic and Mr. Sigint, by retroactively establishing that they were actually DARPA Chief Donald Anderson and Dr. Clark, two characters who were killed off in the original MGS. While a case could be made that Sigint was always meant to be a younger DARPA Chief (since the ending of MGS3 establishes that Sigint later became a DARPA employee), the decision to reveal that Para-Medic was Dr. Clark was a bit more questionable. Aside from the fact that Dr. Clark never even appeared on-screen in MGS (being killed off two years prior to the events of the game), Dr. Clark was originally referred by male pronouns in the game, whereas Para-Medic is female. The attempted Hand Wave that the person who referred to her as a male never met her in person only serves to slightly disguise the blatant Retcon.
In Double Dragon, Billy and Jimmy Lee spent the entirety of the game trying to rescue their friend Marian from the Black Warriors. In the sequel, Double Dragon II: The Revenge, she gets gunned down at the start of the game by the gang's leader, rendering the whole point of its predecessor moot.
Irene Lew falls seemingly to her death from a cliff after being chased by Ryu Hayabusa's evil doppelganger in the opening sequence of Ninja Gaiden III. However, it later turns out that she survived her fall and was really hiding from her adversaries.
The manual hints that the events of Ninja Gaiden III occurs sometime between the previous two games, which makes Irene's survival a bit less surprising to anyone who reads between the lines — as does the fact that Ryu still has the Dragon Sword, which he lost at the end of II.
After surviving the events of Obs Cure, Kenny gets killed in the sequel — in the most drawn-out, painful way possible, involving a Face-Heel Turn. Oh, and the other two heroes who don't return are eventually implied to have been horribly killed off-screen.
Chrono Cross introduces a computer AI, reveals it to be Robo's AI transplanted into a computer by Lucca, and then unceremoniously deletes the AI in a single text dump, accomplishing nothing except shock value.
Most of the cast in Chrono Trigger were killed offscreen, missing in action, or erased from existence before Chrono Cross even begins.
Crono and Marle presumably died when Guardia fell, Lucca is killed by Lynx and Harle, Frog/the original Glenn probably dies a natural death, Ayla isn't even born yet, (as you can play as her implied mother when she was a child, sent to the present through a gate), and Robo is killed onscreen. The only character who is still alive is Magus, who is heavily implied to be Guile who erased his memories.
Wing Commander II - The Tiger's Claw is destroyed in the intro sequence, killing many of the characters from the first game (eg. Halcyon, Shotglass).
Wing Commander III - Similar to the above, the Concordia from Wing Commander II is seen crashed on a planet. Also, Angel is executed by the Kilrathi as part of the opening sequence, though the full scene isn't shown until later.
Wing Commander IV - Vagabond is killed a short way into the game.
Averted, however, with the TCS Victory, which is said by Maniac to have been made into a museum.
Wing Commander Prophecy - Christopher Blair is missing in action/presumed dead by the end of the first act, but then recovered, only to be missing in action/presumed dead again by the end of the game.
And Hawk is killed, a little after halfway through.
Fire Emblem has an amusing inversion of this trope. In The Sword of Flame, the seventh game, a character called Canas exists and is said to be the son of the semi-legendary mountain hermit as well as the father of her grandson. Sword of Flame is a prequel to the sixth, The Sword of Seal, and Canas does not appear. To explain this Canas's ending has him die in a blizzard, resulting in the meme that "Canas was killed by continuity errors".
Hector suffers from this, as a character who is captured and killed early in Sword of Seals. His and Eliwood's wife are both said to be dead. Nino and/or Jaffar were likely killed while on the run. Karla is dead as well. Lucius goes on to run a small orphanage... only to be killed by the invading Bern army, Sue only has concern if her grandfather is alive, not her father (Rath). Sheesh.
Lorenz in Mystery of the Emblem wasn't just killed off near the start. He was Chapter 1's boss.
In Diablo II, the helpful townsfolk from the first game are skeletal scenery when you return to Tristram... except for Deckard Cain, of course, and poor Griswold, who is now the zombie Level Boss. On the plus side, Peg-Leg Wirt's body yields a buttload of coin and a surprising magic item.
Even better example? The Rogue is corrupted by Andariel and becomes Blood Raven, the Sorcerer goes insane and becomes the Summoner, the imposter sub-boss of Act 2; and the Warrior becomes the Dark Wanderer — the new host of Diablo himself.
Most of the cast of Diablo II is either dead or insane come Diablo III, including Warriv, everyone in the city of Harrogath, and the Sorceress (who was killed by the Assassin). And Deckard Cain himself, who survived the first two games, dies early on in the game.
Mujari and possibly Teresa and Logan die in Syphon Filter: Logan's Shadow. Since Sony has officially abandoned the series, we will never see it resolved. Alima Haddad, the chopper pilot who first appeared in Omega Strain, also dies.
In Neverwinter Nights 2, between the Original Campaign and Mask Of The Betrayer, many of the main character's companions are killed off when they seemed to be in sight of safety. All characters who weren't killed in the final battle were making their escape, but most of them are killed. The ones that survive are decided by how the player answers certain questions in the expansion.
In Mass Effect 2, Navigator Pressly is killed during the opening sequence when the Normandy is attacked by the Collectors. Commander Shepard also dies, but is revived two years later...and given a new Normandy into the bargain.
Inverted with Wrex, the Council and Kaidan or Ashley, all of whom were significant characters in #1. Since their deaths are optional, they're written into much smaller roles in #2.
The third game promises to allow you to resolve all those story arcs continuing them from wherever you left them in the first, their lack of interactive progression in the second game is to keep the amount of possibilities in the 4 digit range. Expect the rest of the first game as well as the returning Mass Effect 2 cast to once again be susceptible to Anyone Can Die.
And indeed, there's exactly one main character who is completely without a potential Plotline Death in the entire series, and therefore not susceptible to this trope: Joker, who can only die via Nonstandard Game Over in the second game during the brief period the player controls him. Liara almost counts, as she can only die towards the very end of the game if your Military Strength is too low.
Executor Pallin (the top cop of C-Sec) was absent in the second game, with his role mostly taken by newcomer Captain Bailey. Pallin is later killed off in a comic book sidestory...by Captain Bailey.
The downloadable content for Left 4 Dead 2 ("The Passing") reveals that Bill sacrificed himself to save the survivors of the original Left 4 Dead before they met the cast of the sequel.
The normal ending of Fatal Frame 3 heavily implies that Mio from the second game fell victim to the curse.
Johnny Gat is offed before the end of the second mission, in Saints Row: The Third. Subverted in IV, when it's revealed that he was abducted by Zinyak instead...apparently, Gat was so badass that he felt it was necessary to take him out of the picture years before he was ready to invade Earth.
Then, in Saints Row IV, Oleg and Josh are killed when Zinyak destroys the Earth. Naturally, it can probably be assumed that everyone else who didn't get put into the simulator met the same fate, though those two are the only ones specifically shown when it happens.
In Modern Warfare 3, Griffin (the sergeant who assisted you in the MW1 mission "Crew Expendable"), Russian loyalist Sgt. Kamarov and former main character 'Soap' MacTavish die.
Most of the Servants' backgrounds and ambitions were explored in the first two routes of Fate/stay night, so come the third, Heavens Feel, almost everyone is killed off quickly in the first few few days. To be particularly egregious, most of the deaths are also rather unceremonious. Lancer, Caster and Assassin get killed off almost immediately and with little to no resistance; Gilgamesh barely gets a word in edgewise; Archer and Berserker are killed/absorbed in their first fights; Saber (though not killed) is beaten early by sheer plot device.
Helena Pierce suffers this at the very beginning of Borderlands 2, being killed off-screen and the audio-logs of her death retrievable by the players as a small foretaste of what a Smug Snake Handsome Jack really is.
Byakuya Togami is this in Super Dangan Ronpa 2. Subverted outright: He's not actually the Byakuya we know, he's an Elite Class Impostor.
In Battlefield4, this is the fate of three Battlefield 3 characters: Hawkinsnote the F/A-18F Super Hornet weapon systems officer, inexplicably now in a helo, Dimanote the Russian deuteragonist and Kovicnote turns out that he was "Agent W.", the 'bad cop' interrogator, during Blackburn's interrogation, although Dima is the only one whose history in the prior game is referenced at all.