|Romeo + Juliet (1996) [Mercutio]: Shot in the stomach by John Leguizamo when Leonardo DiCaprio tries to break up Harold and John's argument. He dies in Leonardo's arms after delivering a lengthy speech. (Thanks to RiffXRaff for the correction)
The Edge (1997) [Stephen]: My memory of this movie is vague, but I believe he was killed by the bear while lost in the wilderness with Alec Baldwin and Anthony Hopkins.
Oz: Impotence (2002) [Prisoner #95H522, Augustus Hill]: Reportedly stabbed to death while trying to protect another prisoner. (I haven't seen this episode myself.) (Thanks to RiffXRaff)
Dead Like Me: Rest in Peace (2003) [Arun Levert]: Neck accidentally snapped while performing a yoga pose; his spirit appears throughout the rest of the episode, talking to Mandy Patinkin until he finally moves on.