I'd have them surrounded and outnumbered by an impossible amount, hiding behind cover, then fade to black and give them an ambiguous Bolivian Army Ending. It's more fun when it's ambiguous!
Nacelien (Penitus Mentis Mens): up to her elbows in dead Stormcloaks, she self-immolates to destroy all evidence of her existence.
Mystic Rohnin: after fulfilling Bjolfr's vision of a safer Skyrim, she is finally free to regain her her honor by taking her life with her own sword, prostrate before the shrine she built in his memory.
Lady Madylina: locked in an embrace with her soul-mate, Gerthland, Mara frees them from Hergen's curse and takes them into the blessed realms of love.
Amalio, Knight of Iron: defending a village with his wife, Mjoll, from a bandit army.
Heals-hurts: purging a crypt full of undead whose shadows fall on a defenseless town.
Eyralien: in the Temple of Dibella from wounds received in an underworld skirmish against would-be Falmer raiders... the raiders were obliterated.
Deirdre the Anathema: misunderstood to the last, she's taken down by Markarth guards only because she would not fight the people she swore to protect.
Lirael, Keeper of the Dead: after serving as Keeper for most of her life, she trains her only child to be the new keeper, then travels to the ninth gate to be lifted into the sea of immeasurable stars.
Stones-in-his eyes: jumping for a ledge that is JUST a bit too far away--Last words... "I got this!"
That was kind of fun! (depressing, but fun ;D)
Erika Northwing: Most likely either in service to the Imperial Legion, or in a dungeon after taking one risk too many just to claim a rare treasure.
Rikka Northwing: She would most likely die saving her sister from harm -- an ironic death for a sociopathic assassin like her.
Marudil: Being that he's made himself the Thalmor's most devoted adversary, he'd most likely perish in a Justiciar ambush. But only after finally taking personal revenge on Elenwen.
Sevria: Either she would die peacefully in bed, or out in the wilds of Skyrim; as she is a foreigner, she has no idea what's out there.
Arabella Blackwell: She would be hunted down by former Stormcloaks, as it was her cursed black magic that cost Ulfric both his war and his life.
Markus Blackwell: The only way a master thief of his caliber can die: surrounded by riches in his luxurious private estate.
Mirvon Sin: Killed in battle with the Imperial Legion after having laid illegitimate and tyrannical claim to the throne of Windhelm, following the demise of Jarl Ulfric (after having personally shouted him out a window).
My drunken mage (I forget the name they had): succumbing to his wounds as he comes out of drunken stance after fighting a Bandit chief barehanded
The Mafeficar: bloodloss; calling on just a little more power to take down his former "allies" the legion soldiers that have him surrounded
Bjor Stormcaller: Poisoned by a Brotherhood assassin hired by Maven
I would like to think my main character (Alistor Verentine, a strange dragon-knight that worships both Akatosh and Peryite) would die as he and his faithful allies fought hundreds of dragons, bandits, and vampires at once, then (since he is a dragonborn with immense power) be recognized as a god by a small cult somewhere.