It's part of the whole "We need to bring some sorrow into this story to help to balance out all of the other feelings that we are exploiting here" idea. I mean, many feel that if a story doesn't make you tear up, it's not a good story. *shrugs*
As for getting rid of characters, you WANT to become extremely attached to your characters, because if you do, then it's much more likely that your readers will, too. That way, the death will have more of an emotional impact (if it's death that you're speaking of) on the readers.
It's very tough to kill off a character, though, because not only are you attached to him/her, but also it's tough to get the right tone and feel to the death scene, because normally they come off as rather, um, over-dramatic. Hardly anyone dies after lying there bleeding profusely for several minutes of battle occurring and then has the strength to not only say what the author wants the character to say, but has the brain focus to do it. Lack of blood means lack of oxygen to the brain, which oxygen, in good quantities, is necessary for clear thought. Therefore, I'd like to suggest that you read as many good death scenes as you can, pick them apart and then use the ideas you get from them to help it along. However, you will need to first gain the will to do in a character, and that can be tough, as I said.
"It is better to keep your mouth shut and to appear stupid than
to open it and remove all doubt."