When one of our players got tired of her character and wanted something new, she let the GM know. He set up a situation where the big bad BH nemesis of the group tried to take us out with a grenade. Her character jumped on it and sacrificed herself to save us. It was a good cinematic moment to me, her character went out a hero and now we have extra motivation to hold a grudge against the enemy.
With regular characters, I did one really long Amber session about 26 years back (**** I'm old). One fellow wanted to have his character go in a blaze of glory; which he did when he took out a major renegade Chaos Lord with blood magic and himself in the process. We made a point of taking care of his widow after that. They were trying desperately to save him and I finally had to give in that it was his idea. I think they might have hurt me otherwise....