LOTR 30 DAY CHALLENGE
Day 20 - Saddest character death: Gandalf the Grey. I already used Boromir's death for a previous answer, so I'll go for Gandalf this time. I know that by the time you see The Two Towers it's obviously not sad anymore, but this scene is so perfectly done with the music and with all the other character's reactions, it truly is the saddest death.
"I have not the heart to tell you, for the grief is too near." - Legolas in reference to the Elves' of Lorien singing about Mithrandir.