|Rambling Rose (1991) [Rose]: Dies (off-screen) of unspecified natural causes; we learn of her death afterwards when Robert Duvall informs John Heard. (Thanks to Tom)
The Siege at Ruby Ridge (Ruby Ridge: An American Tragedy) (1996) [Vicki Weaver]: Shot in the back by an FBI sniper (Bruce Locke) through a door, when Bruce is firing at Randy Quaid as Randy runs inside.
October Sky (1999) [Miss Frieda Riley]: Dies (off-screen) of cancer; her death is mentioned in the on-screen text at the end of the movie.
Inland Empire (2006) [Nikki Grace/Susan Blue]: Stabbed in the stomach with a screwdriver by Julia Ormond on the sidewalk; she staggers down the street and dies several minutes later while a homeless woman (Helena Chase) talks to her. After her death, a film crew is revealed, and Laura gets up and walks out of the studio. (Due to the film's surreal nature, it's open to interpretation as to whether her "death" was just a film-within-the-film sequence, or whether the death was real and her "actress" persona is just a fantasy or an afterlife experience.)