1. Mr. Eko (LOST)
Listen, there was a lot going on with actor (quickly googles to make sure I'm spelling his name correctly) Adewale Akinnuoye-Agbaje. He was unhappy living in Hawaii full-time (an objectively insane thing to say - "oh boo hoo, I'm living in paradise and working on one of the best TV shows on the air!") and requested to be written off the show to spend more time in his native London after the passing of his parents. On one level, I get that - he was in a tenuous place, emotionally, in his personal life. But, c'mon - Eko was one of the best characters on the show, and his abrupt departure was one the death knells of Lost in season three.
Eko had been built up significantly in its messy 2nd season - one of the few bright spots in a show that was still finding its way. A former child soldier turned drug lord turned reformed priest (like all backstories on Lost, it was...complicated), Eko's backstory alone had enough going on to support an infinite number of flashbacks. Add to that the incredible performance by Akinnuoye-Agbaje, and you had a character with the kind of gravitas and presence to match wits with Locke (especially when it came down to the show's frequent debates about faith) and elevate basically every scene he was in (even Ana Lucia scenes!).
Instead, the actor got dissatisfied with his life in Hawaii and the character got mangled by a smoke monster for (more or less) no reason at all. And the rest of us had to suffer through season after season of potential being squandered, as it became clearer and clearer that the writers had absolutely no idea where any of it was going. At least Eko was spared from (most of) season 6.
2. Oberyn Martell (Game of Thrones)
Oberyn Martell HAD to die - his death is an absolutely pivotal moment in A Song of Ice and Fire, and a tragic reversal of what seemed to be a rare victorious event. It's the kind of dramatic twist this series does so well, and I absolutely hate them for it.
The Red Viper (as he's known) only got to stick around for a few episodes - not even an entire season! He was charismatic, passionate, and knew exactly how to push the buttons of some of the most unflappable characters (like Tywin, Tyrion, and Cersei). He was free with his sexuality, short on patience, and a cunning warrior - in short, there was no way the show would have ever let him survive long, and that's really too bad.
The death of Oberyn Martell set a lot of things in motion - the guilt of Tyrion (and then Tyrion's big roadtrip to meet Daenerys), the death of Tywin (by the hands of Tyrion), the undeath of the Mountain (thanks, Maester Qyburn!), and the growing madness of Cersei that all of these things led to. But most of those things were to the detriment of the show - Tyrion's roadtrip was dull and unmemorable, Tywin was one of the strongest and most interesting characters on the show, and - most importantly - Oberyn was the only cool Dornish character there was. The fact we didn't get to spend more than a season with him feels damn near criminal - I can only hope that he and Ned Stark are sharing a laugh up in George RR Heaven.
3. Doakes (Dexter)
Doakes is a pretty ridiculous character - a bizarrely-jacked loner detective who is CONSTANTLY hounding the police station's blood spatter expert in a really aggressive way, mostly just for "acting weird all the time." It'd be one thing if he genuinely suspected Dexter of being a serial killer from the beginning (it's still upsetting to this day that virtually NONE of Dexter's co-workers ever really suspected him of his blatantly obvious extracurricular activities, with a few exceptions - and even then, it was far far later than it should have been), but for most of his time on the series, Doakes just wanted to get up in Dexter's business for being strange.
That all being said - the show NEEDED a character like Doakes. The rest of the cops being so passive and oblivious to Dexter's murderous ways made them seem much more inept and clueless than the show intended - and while they did later try to fill in Doakes' role as "resident Dexter suspecter," none of the replacements were ever as intense or as compelling as Doakes, and definitely didn't have a line as incredible as "SURPRISE, MOTHERFUCKER."
4. Oz (Buffy the Vampire Slayer)
Looking back at Buffy the Vampire Slayer as a whole, it was a show that was really at the forefront of a lot of big trends - the lovable pop culture-referencing nerd (Xander), the bad boy with a heart of gold (Spike), and....the quiet, stoic, unnervingly chill werewolf dude? Oz was an oddity, even on a show like Buffy that was filled to the brim already with oddities. The show was known for its fast-paced dialogue and multitude of quips, and Oz was a character who barely engaged in any of that - he was largely silent, rarely perturbed, and was the true definition of cool (in that he truly, absolutely didn't care what anyone thought of him - not trying to be the most popular person around or anything more Fonzie-ish like that).
But it was not to be - probably because of the very nature of his character, he didn't get as much screentime as he should have, and actor Seth Green grew unhappy with his place on the show and how little time had been devoted to fleshing out Oz. He left in the midst of the 4th season right as his arc was beginning to get interesting - hints that he would be able to figure out ways of controlling his werewolf transformations and his evolving relationship with Willow. Luckily, his departure gave us Tara (and Willow's revelation that she was gay) - but unluckily, the show lost one of its most unique characters.
Also, he went on to make Robot Chicken, which is pretty cool.
5. Bobby (Supernatural)
To be fair, this one is sorta a cheat - even after Bobby died, he lingered on as a spirit for a long time, and it's not like "being dead" has ever stopped a character from coming back on a regular basis. Still, it stung to not have (living) Bobby in our lives anymore. To make a decision like that, you'd have to be a real idjit.