I can't exactly describe exactly what I want to go for here. For me, the most impacting deaths are the ones that make you stop reading to reorganize your thoughts because you're not completely sure of what just happened. The ones where the character overcomes incredible odds and, just when you think he's safe, something happens and after that and brings him down. Maybe it has to do with tricking expectations a little bit. Maybe it's that feeling of being so close and failing at the last possible second? To you, what makes a character's death work?