I just spent the last hour reading these responses, and couldn't resist signing up to share mine.
Pretty early on in the game, I hired Stenvar as my follower. He was my right-hand man. My bro. When I was sent to kill a bunch of vampires in their hideout, the last few standing in the end proved to be a bit diffiicult to get rid of (I wasn't very leveled at that point, as I had mostly just been exploring and doing side-quests). After killing them all, I quickly saved and started to loot around. But it felt strangely empty. No familiar gruff-voiced grunts or coughs. No Stenvar! I was under the assumption that followers couldn't die, but he was nowhere to be seen.
Then I found his lifeless body on the ground.
I must have killed him on accident. And
saved.
I felt what I can only describe as legitimate grief. I went about my business, doing this and that, starting a few other quests. But I just couldn't stand knowing that Stenvar's carcass was just laying in some abandoned cave. I only had one other save, from waaaay back. So, I loaded it up and did all the crap I had already done all over again, just so I could have him back.
Not really a gameplay "wow" moment, but definitely a wow moment upon realizing that I had become completely immersed in this game, and was actually becoming attached to its characters.
To really drive it home-- the second time around, when I started the Companions questline and had to have Farkas as my follower, Stenvar automatically got discharged on the spot. He ended up getting lost in the game somewhere. After days and days and waiting and sleeping, I never saw him again. So, I sure did load up that really old save and do it all for a freaking
third time. I married him this time. Now he just stays in my Whiterun home and stirs the soup kettle.
I'm not sure why I'm so attached to that guy. I think my fiance is jealous of him.