Killed by her husband, through the hole in the floor of her own home. Tough way to go.
King Robert Baratheon
And thus the Game of Thrones begins when Robert's loving wife Cersei secures his death by ensuring he over-drinks on a hunt and gets gored by a boar. It's also the beginning of Ned's downfall.
Renly received a full blown supernatural death at the hands of Melisandre's baby smoke monster raising the "anything goes" factor on GoT. He was too soft-hearted to be playing at king, poor dear.
Lady the Direwolf
Lady paid the ultimate price for what her sister Nymeria did -- bit Joffrey on the arm to protect Arya (and because Joffrey is an ass). Ned had to put down Sansa's beloved direwolf proving proving our distaste for Joffrey was spot on. Nymeria now runs free.
Arya learned how to use her beloved "Needle" that she received from Robb with help from dance master Syrio. The pesky Lannisters try to kill Arya and Syrio fends them off with a wooden training sword long enough for her to escape before dying off screen.
Yoren died defending Arya and Gendry from Lannister men as he was loaded full of arrows, took a lance to the chest and a sword to the back of his neck finally downed the fan favorite.
Wait! There's more Shocking Game of Thrones Deaths! Just click "Next" below: