Jon Lord's death and his struggle with cancer leading up to it was hard to deal with, I had huge fondness for the guy, he was the most influential musician of my adolescent years and inspired me immensely. Saw him live and got his autograph two years before he died, it was a dream come true.
I'm a huge Sopranos fan and regularly re-watch the series every 2 years so. It did that last summer and ended a late night marathon with the episode "Kennedy And Heidi". The episode ends with James Gandolfini raising his arms to the sky shouting "I get it!" to the desert sunrise. After that emotional scene I went online before bed and saw that he had just tragically passed away. It was like a shot to the gut. The end credits to the episode were still playing.
No other celebrity death really affected me, although I remeber Michael Jackson's music becoming wildly cool and appreciated among my peers after he died. Before that, he was just a subject of lame jokes and ridicule.