Forgot...the players usually take it pretty well. I don't do it often & we all know this is jsut for fun; the players that get too wokred up over a character dying don't last long.
Worst was a guy, loooong time ago, in a Victorian adventure game -- out of ammo, armed with just is sword, the rest of the troops around him withdrawing from a Sudanese attack -- lunges at the approaching enemy force and gets what you'd expect: a fast death.
Later he tells me his character came to him in a dream, upset that we had killed him off so unceremoniously and that he didn't like the way the other PLAYERS were so cavalier about it.
I chucked him out of the game shortly afterward; bit creepy, yeah...
"War is an ugly thing but not the ugliest of things; the decayed and degraded state of moral and patriotic feelings which thinks that nothing is worth war is much worse. A man who has nothing for which he is willing to fight, nothing which is more important than his own personal safety, is a miserable creature and has no chance of being free unless made and kept so by the exertions of better men than himself."
John Stuart Mill