Heh. I got two examples, and both were with my buddy Andrew, in solo games. One time we were playing Stars Without Number, and I told him his character was taking part in a planetary invasion. In an interesting twist, he rolled up a chaplain type figure. One the way down he failed to motivate the troops, and when the dropship landing doors opened,he took one in the face. Granted, SWN is a deadly system anyway, but we had just started. Needless to say, the chaplain fell dead, headless body smoldering. We had a good laugh, because we had played SWN before without any PC casualties, and I had generated some NPCs in the event that happened.
Second time I was leading him in a game of Zombie d6 Lite (see my PBP), and he had almost made it to the evacuation point. But I had secretly rolled that the military was 'quarantining' everyone, so when he showed up, the soldiers opened fire. He ran away, and a helicopter followed him. He was disabled in a barrage of machine gun fire, and fell to the ground. A soldier jumped out of the helicopter...and landed a perfect head shot. We had a another laugh as well.
The games I play are pretty fatal, and I tell everyone at the beginning that they WILL die, so be ready for it. I also depends on the player, because I played D&D with this one kid who almost cried when his rogue was killed. I view my characters as just that, and try not to get overly attached to them. Shit happens, and people die. You just gotta be used to it.
Of course, you can throw everything out the window if you play in a system were reviving the dead is possible
EDIT: I'm also big on letting the dice fall where they fall, unless it's a meaningless task like trying to unlock a chest or something. But when it comes to combat and/or life and death stuff, the dice have the final say. I usually don't play crit fails as brutal accidents or anything though, more embarrassing or silly stuff.