Look, superheroes die more often than soap opera characters and come back from the dead twice as often. But there are some truly meaningful and classic deaths in comic books.
Now, this list does contain spoilers for some of the best comics I've ever read, so caution is advised. POTENTIAL SPOILERS FOR: Starman, The Vision, Hitman, Ex Machina, Chew, Southern Bastards, Astro City: Confession, and Transformers: More Than Meets The Eye, among others.
(X-Men, Marvel Comics)
The question here isn't "Why is Jean Grey on this list?" It's "Which one of her deaths are we talking about?"
The answer is the first one. The X-Men were on their way home in a space shuttle after some space adventures, and they encountered horrible solar radiation. The cockpit wasn't shielded, so someone needed to sacrifice herself to pilot the ship down to earth. Jean volunteered, took in a massive amount of radiation, and crashed into the sea. As the other X-Men freaked out, thinking she'd died, a person who looked exactly like Jean – and said she was Jean – exploded from the water, calling herself Phoenix.
She used her Phoenix powers for quite a while before she started experiencing emotional issues. This was made worse when she was temporarily mind-controlled by Mastermind, who turned her into the Black Queen of the Hellfire Club. She broke free of this mind control, went super crazy, and became the Dark Phoenix, devouring a star and killing five million life forms.
She eventually killed herself to keep from ending any more lives.