|Forrest Gump (1994) [Jenny Curran Gump]: Dies of AIDS-related illness (off-screen); we only see a scene of Tom Hanks sitting at her bedside, followed by a scene of Tom standing at her grave.
The Singing Detective (2003) [Nicola Dark/Nina/Blonde]: Playing a triple role, she dies twice: (1) "Nina" is drowned in a hotel-room bathtub by Adrien Brody and Jon Polito, in Robert Downey Jr.'s detective story sequences. (2) "The Blonde" is shot by Robert in a hallucination sequence; we only see Robert burst out of the closet firing repeatedly. ("Nicola," her only character that exists in reality, survives the movie.)
A Christmas Carol (Disney's A Christmas Carol) (2009; animated) [Fan/Belle]: Voicing a dual role, "Fan" dies in childbirth (off-screen) several years before the story begins; she appears in a flashback when Scrooge (voiced by Jim Carrey) is shown his past. ("Belle" survives the movie.) (Thanks to Tommy)
The Conspirator (2011) [Mary Surratt]: Executed by hanging. (Thanks to Tommy)