In Wing Commander, failing to eject before your fighter is destroyed results in a game over screen that consists of your character's military funeral. It's strangely depressing in a way that made me very careful to bail out if my shields got to low.
Hell, any of the character deaths in the series are the same as this.
Liz (Shadow) from Wing Commander 2, for example, was just a reserve. Not expecting kilrathi attacks and was mere months from retirement.
Wing Commander 4 has a particularly hard-hitting losing cinematic if you continually fail your missions: Blair is brought before Admiral Tolwyn, who, in light of Blair's poor performance, revokes his commission, essentially firing him. Blair holds out his hand, offering a final handshake, which Tolwyn silently refuses. After taking his leave, Blair is last seen in a dive bar, drinking his sorrows away.