James Cagney dies in a lot of his films, though not all of them - and has some of the greatest death scenes I've seen. It's quite a relief when he makes it out of a movie alive.
Not a movie, but my son has just pointed out to me that Kenny dies in every episode of South Park!
John Travolta died in Pulp Fiction, Swordfish, Phenomenon, Carrie, Broken Arrow, Michael, The Punisher and Face Off if I remember correctly.
The actress Rebecca Gayheart who is on TV now in Urban Legend also seems to have been in a few films and has one of those faces that suggest victim in horror film.