It depends entirely on how it's done.
If it's just a sudden, senseless death that adds nothing to the story, it annoys me - sometimes enough to stop reading. Killing people just for shock is cheap and does nothing for the readers other than make them feel angry.
If, however, it is a well thought out and well-written death, that has an impact on the story and a meaning for me as a reader, then I actually like it. It is especially nice when it's not just that the characters die because the antagonists are evil and decide to kill them, or when it's an accident; I absolutely love it when their death is caused by their own actions or personality leading them into a situation where death is inevitable. As in, not suicide, but the circumstances lead to them dying.
BIG SPOILERS FOR STEVEN ERIKSON'S MALAZAN-BOOKS BELOW
Lots of people die in the Malazan-books. It's just that kind of series - you know, a lot of inevitable doom and horrors of war and whatnot. So you kind of go in expecting that people will die. By the beginning of book three, I was starting to make bets with myself on which characters would survive the book.
And in book three, there's a character named Itkovian. He's one of my favourite characters, because I really like the way he's extremely serious and duty-bound to the point where he refuses to abandon his duties even when they cause him to be trapped in a city being beseiged by a massive army of literal cannibals. The first time I read it, I spent the entire time holding my breath and wondering when he was going to get stabbed or beheaded or fall off his horse or get eaten, or whatever.
But he doesn't. He survives the siege, and goes on to do more fighting, and I started to think that hey, maybe he's going to make it! And I started to feel safe again. And just when I'd relaxed again, Erikson blindsides me with his death.
See, Itkovian is a kind of priest, whose main task is to sort of take on other people's grief and suffering, to ease their burdens - and as the Malazan-books are fantasy novels, he does this in a very real way; the grief and suffering really is transferred to him via magic. And then he meets an army of some hundred thousand undead soldiers, who have been restlessly wandering the earth for millennia, looking for someone to release them from their un-death.
So Itkovian, bound by oath and duty to shoulder their suffering, kneels before them on a grassy plain, and accepts that suffering - and it is so vast that it kills him. And the undead army can finally, finally, rest in peace.
I cried so hard I couldn't see the words on the page.
