I think the villain death is usually more interesting than the hero death. I'll throw in two things.
Madelyne Pryor in Inferno (and she was a team member and did adventures, so if you want, count it as an X-Men death). When everything that played out really from Dark Phoenix until then, the revelations concerning Mr. Sinister, man, everything was a punch to the gut. I could really sympathize with her anger at so many different people.
Then the stuff with Stryfe in X-Cutioner's Song. Another bitter villain, much less justification, but with him, Prof. X's oh crap moment when he realizes what Stryfe was talking about in his Strike Files was great.