Someone had to die. Way too much fighting to lose no one. But most of the main characters CAN'T die, some are immortal and many of them have movies coming out after the Avengers.
I will say this - I don't think I can ever remember a death in a movie that caught people more off guard than Coulsons. I think many of the people in the theater, myself included, gasped out loud, or said "NO!" when Loki stabbed him. I literally felt his loss, he was just such a loveable character and it hurt to lose him.
One thing that did surprise me though was that there was no burial, funeral, service, memorial for him. Possibly just because the movie was already so long, but who knows. At least we still get to enjoy him in the tv series and Ultimate Spiderman (which is now one of my personal favorite shows that we DVR each week).