This has only happened twice to me.
Homestuck, my favourite character died, I was upset, but since there was precedent for characters coming back to life and other characters I liked, I kept reading, and my fave came back to life and remained a major character in the rest of the story. 
It was a good death because it represented the absolute loss of hope and the sheer depths the character responsible had fallen to, and it was a good resurrection that was a totally badass reversal that the readers really needed at that time and really moved the character's development forward.
Death Note, my favourite character died and stayed dead. I'd have been annoyed if it hadn't been permanent because it would have really robbed it of impact... but the characters who came in as replacements I... didn't really like as much and finishing the rest of the manga was a bit of a chore compared to how much I'd loved earlier parts. It was still good, but... yeah. I thought it was an interesting death and it did move the plot, but I felt like nothing quite ever filled the hole left by that character in terms of interaction with other characters in the story.
It's unusual for me to experience it because it's way more common for my fave to get sidelined than die (because they're often secondary female characters). Ideally I want the death to be treated consistently with how deaths are generally treated in that series and for it to actually do something in the plot.