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so here is a starting point.. i'm going to poke away at it a little bit, but you can too. if you can look through the list of other keywords and tick a few which may relate to your movie it will narrow the search for you…
http://www.imdb.com/search/keyword?keywords=death-of-protagonist
EDIT: here is it narrowed a little bit… it shows movies released up to 1982
Edited by snag

There was a spy movie (or maybe a caper movie) that must have come out before 1980. The only things I remember are that it was in color, the main character had a beard and maybe wore a leather trenchcoat, and the main character was killed at the end of the movie at a playground or near a carousel, in kind of a downer ending. Any thoughts?