1) In Serenity (2005):
2) In 2008's The Strangers (starring Liv Tyler and Scott Speedman):
3) In Crank 2: High Voltage this happens:
4) And then, in the It's Always Sunny episode called "The Gang Saves the Day," Dennis gets shot in the head while negotiating with a robber (I unfortunately couldn't find a clip) -- which is clearly a homage to him dying in other films. But it seems as though I'm the first person to publically discuss this.
It's also noteworthy to say that he's in the upcoming TV show, Fargo (based on the ultraviolent Coen brothers film) . . .
. . . and, considering he likely won't be a main character, I wonder how he's going to die in that show.