Here is a list of my favorite comic book characters who have bucked the trend and stayed dead. It has become a trend in recent comics to bring back characters that were long dead (like Bucky and Jason Todd). And while I think these things have been done well I think that killing off characters means a lot more if they stay dead.
5) Thunderbird- John Proudstar was a member of the all-new X-Men in the 1960's but died on their second mission. He has been replaced by his brother Warpath, allowing writers to keep Thunderbird's death meaningful while not completely abandoning a cool character concept.
4) Karen Page- Daredevil's dead girlfriend. How do you give a comic character some issues to deal with? Get his girlfriend addicted to heroin and doing porn. Then tell her she has HIV and have her murdered by the same villain who killed Daredevil's other girlfriend. Dark stuff.
3) Abin Sur- The Green Lantern whose death led to Hal Jordan getting the power ring. While much retconning has revealed secrets about Abin Sur, they have not brought him back. Which is as it should be.
2) Sue Dibny- The lovable wife of the Elongated Man, she was accidentally killed by the psycho ex-girlfriend of The Atom. What makes the death remarkable is how it affected later storylines and the heartbreak invoked by the Elongated Man's reaction. The solution was good too. Elongated Man died and became a ghost detective with Sue (so while the character still exists she is still technically dead).
1) Gwen Stacy- One of the most shocking moments in the history of comics, Stacy was thrown off a bridge by the Green Goblin. Her boyfriend Spider-man used webbing to catch her but it accidentally snapped her neck. A heart rending moment. She has since made several appearances in alternate universes, flashbacks and as short-lived clones but the original is still dead. And much more powerful for being so.