|Dr. Strangelove, or: How I Learned to Stop Worrying and Love the Bomb (1964) [Lt. Lothar Zogg]: Killed in an explosion (along with everybody else in the world) after his plane drops a bomb that sets off the Soviets' Doomsday Device. (We don't see James after the plane drops the bomb, but it's clear that nobody survives.)
King Lear (1974) [King Lear]: Dies of old age, compounded by heartbreak over the death of his daughter (Lee Chamberlin). (I haven't seen this version, but I'm familiar with the play.)
Blood Tide (Demon Island; The Red Tide) (1982) [Frye]: Killed in an explosion when he sets off a bomb to destroy the monster in its cave. (Thanks to Stephen)
Conan the Barbarian (1982) [Thulsa Doom]: Decapitated at the end of a swordfight with Arnold Schwarzenegger.
Star Wars: Episode VI: Return of the Jedi (1983) [Darth Vader]: Fatally injured with a barrage of energy by Ian McDiarmid as he kills Ian, he dies shorty afterwards while talking to his son (Mark Hamill). (James provided the voice of the character, while David Prowse appeared under the costume, and Sebastian Shaw played the role after being unmasked. Due to the unusual 'triple-cast' nature of this role, I'm listing it for all three actors.)
The Ambulance (1990) [Lieutenant Spencer]: Stabbed in the chest by one of Eric Braeden's thugs, then run over by the ambulance.
By Dawn's Early Light (1990) [Looking Glass General a.k.a. Alice]: Killed in a plane crash when they deliberately crash into Air Force One to stop Darren McGavin from launching a nuclear assault. (Thanks to Darren)
Clear and Present Danger (1994) [Admiral James Greer]: Dies of cancer (off-screen).
The Lion King (1994; animated) [Mufasa]: Providing the voice of a lion, he is trampled to death in a wildebeest stampede after his brother (voiced by Jeremy Irons) knocks him off of a rock into the wildebeests' path; he appears as a spirit to his son (voiced by Matthew Broderick) afterwards. (Thanks to Tal)
Everwood: Lost and Found (2006) [Will Cleveland]: Dies (off-screen) of natural causes in his sleep. He does not actually appear in this episode; we only learn of his death when Gregory Smith gets a phone call informing him. (Thanks to Alex)
Scary Movie 4 (2006) [Narrator]: Hit by a bus after he walks on-camera while delivering the closing narration. (Played for comic effect.) (Thanks to Alex)