|The Lives of a Bengal Lancer (1935) [Lieutenant Alan McGregor]: Fatally wounded in a battle with Douglas Dumbrille's men.
The Plainsman (1936) [Wild Bill Hickok]: Shot in the back by Porter Hall while Gary is playing poker. (Thanks to Zoran)
Beau Geste (1939) [Beau Geste]: Shot by Arab troops when they attack the fort; he dies shortly afterwards while talking to his brother (Ray Milland). His body is shown again later on when his other brother (Robert Preston) discovers him, then places his body in bed and starts a fire to give him a "Viking funeral."
For Whom the Bell Tolls (1943) [Robert Jordan]: Killed (off-screen) by Nationalist soldiers when the injured Gary stays behind to hold them off and give the others a chance to escape; the movie ends with Gary firing at the soldiers, but his fate is very clearly implied. (Thanks to Zoran, Paola, and Bill)
Ten North Frederick (1958) [Joseph B. 'Joe' Chapin]: Dies of alcohol-related illness, shortly after his daughter (Diane Varsi) leaves his bedside. The movie begins with his funeral, then proceeds in flashback until it catches up with his death.