In no particular order...
Spike in 'Chosen' (I hadn't known he would be revived in AtS. Anyway, it was amazing, him dying a champion and I absolutely love his 'No, you don't, but thanks for saying it'. I don't know why I love it, but it's just so tragic and beautiful to me.)
Fred in 'A Hole in the World' (obvious choice!)
Buffy in 'The Gift' (I think this was the first thing that actually made me tear up. And I seriously never ever tear. Ever. I'm like the stoic-est person ever.)
Darla in 'Lullaby' (I thought Darla was kind of cool, but only in an offhand way. But that was before her incredible sacrifice.)
Cordelia in 'You're Welcome'. (Oh god. This was just... wow.)
Sorry, Tara doesn't make the list because she didn't really interest me... Neither does Angel in 'Becoming', because I was glad to be rid of him.
Honourable mentions to Anya, because I absolutely loved her quick, brutal end, and Wesley, because he was too awesome to die. Aaand Doyle, because he didn't deserve to die so early in the series and I loved his character and relationship with Cordy.
Gah, Joss just has too many deaths in the series.