|Live Flesh (Carne tremula) (1997) [Isabel Plaza Caballero]: Dies (off-screen) of cancer; her death is confirmed by a scene of her son (Liberto Rabal) visiting her grave. (Thanks to Nemanja)
Open Your Eyes (Abre los ojos) (1997) [Sofia]: Possibly smothered with a pillow by Eduardo Noriega; the scene begins with Eduardo making love in bed with Penelope, but she's suddenly "replaced" by Najwa Nimri, whom he then suffocates. Although we only see Najwa during the actual murder, Eduardo's apparent hallucinations make it ambiguous as to whether the victim was really Najwa or Penelope, or even whether the murder actually occurred at all.
All About My Mother (Todo sobre mi madre) (1999) [Sister Rosa]: Dies of AIDS-related complications (off-screen) shortly after childbirth. We only see her funeral afterwards; her body is not shown.
Vanilla Sky (2001) [Sofia Serrano]: Possibly smothered with a pillow by Tom Cruise; the scene begins with Tom making love in bed with Penelope when she's suddenly "replaced" by Cameron Diaz (in a remake of the same scene from Open Your Eyes). After Tom suffocates Cameron, he realizes that the body underneath the pillow is Penelope (although the victim's face isn't shown, he recognizes Penelope by her tattoo). As with Open Your Eyes, it's ambiguous who the victim really was, or even whether the murder actually occurred at all.
Don't Move (Non ti muovere) (2004) [Italia]: Dies of internal bleeding following a botched abortion, with Sergio Castellitto lying beside her in her hospital bed. (Thanks to Nemanja)
Head in the Clouds (2004) [Mia]: Killed in an explosion by a land mine while working as a nurse on the battlefield. (Thanks to Elle)
Broken Embraces (Los Abrazos rotos) (2009) [Magdalena 'Lena' Rivas]: Killed in a car accident while riding with Lluis Homar (who survives the crash). (Thanks to Mesmerizer)