"The enemy? Your sense of duty was no less than yours, I deem. You wonder what his name is, where he came from, and whether he really was evil at heart. What lies and threats lead him on this long march from home, and would he have not rather stayed there... in peace. War will make corpses of us all."
The saddest death in Middle-Earth... so many die during the course of Tolkien's stories. (just so you know major spoilers coming up) Boromir, Theodred, Theoden, Thorin, Kili, Fili, Denethor, Gollum, Haldir, and more. Let me just say that I'm not the type of girl who cries during movies; I get teary-eyed, but that's about it. Some movies can have the most heart-throbbing sorrow pouring off the screen, and I sit there complaining about the horrible continuity of the girl's hair or pointing out the abstract object in the background. That's how it was the first time I visited Middle-Earth in book and film. Now, the characters have become more real to me, and I sympathize with them a lot more than I used to. No, I still don't cry during scenes, but the emotion that they experience I understand. Yes, I know. I've grown up in that respect, even if I haven't grown up in other areas. *runs outside barefoot to race to the swingset singing "I could go running, and racing, and dancing, and chasing..." the whole way*
Picking a saddest death was hard for me, because of how I love each character differently, yet I do believe the saddest death scene is this...
King of Rohan, ruler of the Mark, Theoden was uncle to Eomer and Eowyn and acted as their father for the majority of their lives, forging a family bond stronger than any family in LOTR or The Hobbit. Eowyn didn't really know her parents well, as they both died when she was little, so Theoden was the closest thing to a father that she had.
"I have not seen my niece smile in a long time. She was a girl when they brought her father back dead, cut down by orcs. She watched her mother succumb to grief, and she was left alone to tend her king in growing fear. Doomed to wait upon an old man, who should have loved her like a father."
When Saruman sent Grima Wormtongue to poison the mind of Theoden and claim lordship over the lands of Rohan, it was Eowyn who stayed at her uncle's side, ever loving, taking care of his every need, even though Theoden only fell more and more into a shadow of a king that once was.
Grima falsely banished Eomer (in the film; in the book, Eomer was never banished at all, but other Rohirrim were) and sent him away, Theoden signed the papers agreeing to the banishment, yet he was not aware of it. Imagine his thoughts when Gandalf saved him, and he woke to the knowledge that the nephew he loved and trusted as a son was gone? And he had not the chance to apologize?
The bond Theoden had with his nephew and niece grew closer when Theoden lost his only child, his son Theodred, to a band of Uruk-Hai who utterly destroyed the prince of Rohan and his company. The loss hurt Theoden deeply as he mourned, "No parent should have to bury their child." It was after Theodred's death that Theoden realized his position as an uncle and a father, and he resolved to love his niece and nephew better, not to use them as replacements for his son, but to make up for the years of sorrow.
They were all three (Theoden, Eomer, and Eowyn) reunited after the battle of Helm's Deep, and they celebrated their great victory, but that was to be their last hurrah. When Theoden ordered the muster of the Rohirrim to answer the call for aid by Gondor, he asked Eowyn to remain behind and stand in his place. Some premonition, perhaps, told him he would not return, and even Eowyn seemed to understand that, for she disguised herself as a young soldier named Dernhelm and rode into battle behind Theoden and Eomer.
During the battle, Eowyn proved herself a true shieldmaiden of Rohan, fighting at the king's side to protect him, even though he nor Eomer knew that she was there. And then the Witch King descended onto the field and pinpointed Theoden as his prey. The fell beast quickly killed Theoden's horse, Snowmane, but Eowyn stepped in before it could finish off the king, who was badly injured.
Eowyn fought the Witch King, a formidable foe who claimed that no man could kill him. Her arm was broken in the ensuing duel, but Merry distraced the Witch King long enough that she was able to claim herself a not a man at all and destroy her enemy. But she was too late. Theoden was already failing from the injuries he had received, and nothing Eowyn could do would save him. She stayed with him until the end, again in her usual spot by his side, supporting him and weeping over his body as he took his last breath.
Theoden: I know your face... Eowyn. Eowyn... My eyes darken.
Eowyn: No. I'm going to save you.
Theoden: You already did... Eowyn. My body is broken. You have to let me go. I go to my fathers, in whose mighty company I shall not now feel ashamed. Eowyn...