|Law of Desire (La Ley del deseo) (1987) [Antonio Benitez]: Commits suicide (off-camera) by shooting himself; we hear the shot from the other room, and his body is shown afterwards when Eusebio Poncela rushes in and discovers him.
The Mambo Kings (1992) [Nestor Castillo]: Killed in a car accident while driving with Armand Assante (who survives the crash).
Assassins (1995) [Miguel Bain]: Shot repeatedly by Sylvester Stallone. (Thanks to Tom)
Femme Fatale (2002) [Nicolas Bardo]: Shot in the chest by Rebecca Romijn on a bridge. (This turns out to be Rebecca's premonition of the future, which she prevents from coming true.)