Ok, I'm going to spoil the hell out of Game of Thrones. It's been on TV now, so I can't feel too terrible about this, but on the off chance this is an issue, I want to give some heads up before I dive right in.
Game of Thrones has been hugely influential on subsequent fiction, and I think this has mostly been a good thing. There are some folks who do not like this, feeling that this has overly darkened fantasy, but overall I think it's been a good thing. If nothing else, I'm pretty sure it's made Fred a much happier man.
That said, I think that a lot of people take a different lesson from it than I do, and it jars at time. I think a lot of people take the lesson that Ned's death is an indication that the right way to grab a reader (or a player) is with the death of a well liked character. Now, don't get me wrong, I'm all for killing off the occasional character for the drama of it, but that's not the important thing.
The reason that Ned's death is so potent is not that we love the character, but because it violates our expectations. Ned is a protagonist, and the expectation is that he'll get out of the situation, no matter how bad. There are lots of reasons for this, but the thing that I think is really important is about is about expectations and status quo. We're pretty well trained by fiction (especially TV and comics) that after a status quo has been established, things are going to find their way back to that state.
Ned's death breaks the status quo of A Game of Thrones quite profoundly. That, far more than the death itself, is the shock to the system.
I bring this up because it's a marked contrast to killing off a character who is important to the protagonists. If, for example, a protagonist develops a love interest, and that love interest is killed, it's often the opposite of disruptive. Usually, the disruption would be if the love interest remained in play, since that sort of thing tends to change the overall dynamic. It's the reason the pulps are full of dying love interests, the difference is that they tended to make less of a big deal of it.
Anyway, what does that have to do with your game? Just this - death is sad, but unless the players are REALLY attached to an NPC, a dramatic death is not going to move their needle much. What's going to matter is what that death _says_, and what it _changes_. This is a reason why PC death can be such a powerful thing when it happens - if players don't think it's on the table, it can shake things up. But like most powerful tools, that's a reminder of why to use it cautiously.