I don't remember my first character death (would have been sometime in the 80s), but I do have a most memorable character death (which I've shared here before).
A couple of years ago, I was teaching my now 13 year old son some basics of DMing, and he was running Death House for me as a solo character. I was exploring the 3rd floor of the house, and had just defeated a specter in the nursery room. After I left the room, I opened a storage closet, and I was immediately attacked and beaten to death by an animated broom (I missed on all of my attacks, and the broom hit on all of it's attacks). I failed all 3 of my death save attempts, and that was that.