Yes! I've always found the little "Oh" hilarious. It kinda reminds me of the "NNNOOOOOO-Crap" scene in this Brickfilm (which I suspect was inspired by it)
I absolutely love Alan Rickman as the Sheriff of Nottingham in Robin Hood: Prince of Thieves. If you come across this film, watch it - but fast forward any scene that doesn't have Rickman in it. What's so great about the character is that even when he's dying (after a cheap stab in the nipple) he's still hamming it up one last time. I think Alan was the only person who really got the tone of the film - sort of like Johnny Depp in every single film he's in (apart from Alice in Wonderland)
The best serious, straight-faced death scene would have to be this scene from Kurosawa's Throne of Blood. If you haven't seen the film - I highly recommend it. Its basically Macbeth set in feudal Japan - which along with Space and the Wild West is the best setting for anything. And if you know Macbeth, you will know the context of this scene and will feel the build-up to this climax already.
Also, the amount of arrows the guy takes would make Boromir's beard shrivel with shame, and Leonidas's abs shrink away.