My first character death in D&D didn't happen until about 2008 or 2009. We were in 'The Prime Dungeon', where all the rooms were numbered in an unknown script, with the important rooms being prime numbers. Of course we turned the wrong way, so we didn't hit the rooms in order, so we never figured that out. Anyway, getting back to my paladin, the party was about to enter the room and the plan was, if they're too tough we'll back out quickly - Unless (there's always an unless), that !@#$ wizard is in there. Well, we popped open the door, paladin in the lead and there was the wizard with overwhelming force. Being the paladin, I cut straight for him, I think the rest of the group did back out, but I stuck to the agreement and attacked. I always felt it was an appropriate way for that character to go.
My first RPG character to die was a Traveller character, the ship's doctor. He took an RPG, as in rocket propelled grenade, through the dash of the Air/Raft and through his chest I might add. Even back then I wasn't upset, it's only a game.