I'd have to say... Axel's. Very dramatic and sad. But I'm talking about the Japanese version of the scene, the one where they didn't altered it. The original one, the one I'm talking about is that his entire body is scourged by flames and fades into black lines of wind afterward.
Axel - Because of how emotional it is after playing through Days and...being so evil that I nearly CRY rewatching it again when I played through Kingdom Hearts. "He made me feel like I had a heart." AGGH. SO EVIL AND YET SO BEAUTIFUL!
Xigbar - For...just all the hidden glances and the subtle things that can revert back to his relationship with Roxas. After finishing my Xigxas essay, this is still one of my favorite death scenes. While it's short, it's sad and just has a pretty nice impact on the story.
Xion - CUS I CRIED THE FIRST TIME I SAW THIS. Because I actually like Xion, I liked her death scene, seeing Roxas that sad and the MUSIC. It's just like Axel's. Afdsdfgdfh. So wrong. ;3;
Vexen - Because it's dark, dramatic, and just all around AWESOME. 8D
Vexen's death was the best in my opinion. Axel throws a chakram in him, Vexen backs up against the fence, pleads while Axel smriks sadistically then snaps his fingers and the chakram impaled in the senior member catches on fire and having him fade into nothingness. LOL.
Axel in the Japanese version
Xigbar cuz the dude still died like a G
Vexen XD "goodbye"
...and Xion I guess because Yoko Shimomura's composing is just so good that it actually made me feel bad for the man puppet.
Definitely agree that Vexen had the best death--it was pretty funny if you have that kind of dark humor.
I think Axel's would have been the best, hands down, if they would have made it so he could see Roxas right before he faded away. I wonder why the cutscene writers didn't do that since he appeared in TWTNW and right after Sora & Co. fought Xemnas the first time...