I don't know, it really didn't impact me as much losing Martin. He was cool, don't get me wrong, but he didn't actually do anything for us, we did him like... tons and TONS of favors, saving his *** and what not, but except for the final fight he really didn't do much... He actually didn't do anything when I think about it...
SPOILER ALERT!! *** - Shadow of the Colossus
I mean getting attached to a character like in Shadow of the Colossus, when the horse died just before the final colossus... it made a huge impact over me, and over my friends. Even though the horse is not human, he had like... a personality, he always cared about the character and he followed the character and listened to it wherever he went, even through battles. Now THAT'S how you get attached to a character with not a single word coming out from its mouth!
Yeah, Agro dying was a shock for me too.
And yes, I want to get attached to characters...thats what characters should do anyway. In Oblivion I got atached to Martin a bit...there was something about his plight that made him kind of solid as a character. Theres no narrative without characters, so I doubt Skyrim will be devoid of memorable charcaters. Maybe Esbern will be interesting, a sort of Mister Miyagi kinda guy.