Mark Greene's death was done wonderfully. Even the lead-up, when he thought he had a recurrence, getting an MRI as somber music played in the background. Cinematographically skilled.
Lucy's death on ER was a very good episode as well. They even managed to humanize Romano in that episode. Not an easy task.
WRT: Scrubs--it's a death montage, but the scenes where all the transplant patients die set to "How to Save a Life," although corny in retrospect due to how ****ed out that song became, was still very well done. McGinley nailed that.
Rita's death in Dexter--although a total wet blanket it was still a "holy ****ing shit!" moment.
One I really liked for how understated it was--Derek Reese's death in Terminator: TSCC. He just got headshotted and dropped dead early in the episode. Its abruptness made it brilliant.
A great shot is when you pull it off. A smart shot is when you don't have the guts to try.