|Who Killed Gail Preston? (1938) [Gail Preston]: Shot to death during her nightclub act, by a gun that the killer had attached to a spotlight and rigged to fire.
Cover Girl (1944) [Rusty Parker/Maribelle Hicks]: Playing a dual role as grandmother and granddaughter, the grandmother "Maribelle" dies of old age/natural causes a few months before the story begins. ("Maribelle" only appears in flashbacks to her youth.) The granddaughter "Rusty" survives the movie. (Thanks to Christopher)
The Lady from Shanghai (1947) [Elsa 'Rosalie' Bannister]: Shot in the stomach in a shoot-out with Everett Sloane in a hall of mirrors. She dies shortly after staggering outside, while talking to Orson Welles.
The Loves of Carmen (1948) [Carmen Garcia]: Stabbed by Glenn Ford. (Thanks to Rodney)
The Money Trap (1965) [Rosalie Kenny]: Pushed off of a rooftop (off-screen) by Joseph Cotten's thugs; she dies shortly after Glenn Ford arrives at the alley.