Arena: http://www.youtube.com/watch?v=l46NTblx8gs & http://www.youtube.com/watch?v=q0H_X6ip5xQ
Daggerfall: http://www.youtube.com/watch?v=U8Yu1t7ooH4 (CAUTION - HALT'S)
I'm sure Redguard and Battlespire had some too.
Castlevania Lords of Shadow also has one where when you die, the game pans out from a the end of a book showing that you died at the end (but then again the Castlevania game was being told like a storybook).
I was wondering if you guys think a death sequence (skip-able/ can be disable) would be nice to be included? Do you think some video of failure would be interesting to watch other than seeing your character flung back like the matrix and then see loading or returning to a save point? Even though to me it don't really matter, I think it would be interesting to know (and see) what would happen from the developers point of view as to if we died and failed our main quest.