If you're talking the comics, well that's always going on with all sorts of characters, and then they eventually come back. If you're talking the movies, I can't think of a death that was this surprising since Coulson in The Avengers. And even then, Coulson came back in Agents of Shield...and it all really worked for his character and the show.
In terms of Quicksilver in AoU, sure there's plenty they
could have done with him, but at the same time, there are going to be LOADS of new characters coming in, so losing him really won't hurt anything in the long run. He was a cool character, he worked really well in the story, and his death showed growth and was a major push for Scarlet Witch.
It's not like I wouldn't have enjoyed seeing him in a future film, but he served his purpose well here, and I think it was incredibly shocking and not simply throwing the character away for a cheap kill/surprise.
When Joss was asked about how we're never shown Quicksilver's grave site he responded:
“We didn’t what? Oh, that’s true.”
Of course, I think that'd be silly. There have actually been a lot of deaths in the MCU that are instantly taken back, so I'd say Quicksilver is gone for good.