Pokemon 4ever: Celebi. This one died because it used all its energy when it was evil. However, came back to life with help from the other Celebi.
Pokemon Heroes: Latios. It died trying to save Alto Mare from a freak tidal wave. Latios helped, but survived because Latios was hurt from powering the DMA.
Lucario and the Mystery of Mew: Lucario. He died trying to save Mew and the Tree of Life by giving Mew his aura. His master, Sir Aaron, died the same way.
Lots of Pokemon have died! I cry whenever I see one die. But notice how they're all legendaries? Maybe they're more fragile than normal Pokemon... or maybe just more involved in suicidal stuff... meh, tomato, tomahto...