[Randallw]

I've read a bit of David Drake (I think) Belisarius and Shiva Option (correct me if I'm wrong, but SciFi military series) and I can't say I've seen any killing off of major chaacters, apart from some scientist in Belisarius who had a bit more than usual coverage before he blew himself up.

Edit: I also have heard of an anime series where aliens invade earth and a major character is killed each episode until everyone dies by the end.