Interesting question, BG. It's not hard for a director to create blood and horror in an execution, but I like those that have drama around them.
For example: The scene in "Mean Streets" when David Carradine (the drunk) gets shot five or six times and still manages to stagger after the shooter (Robert Carradine). He seems almost superhuman, staggers into the jukebox (playing "Mala Femina" by Jimmy Roselli), bar patrons flee into the streets, Carradine finally collapses on garbage cans. Great scene!
Another: Though this might seem out of place on these boards, the final shootout in "Unforgiven" is one of the greatest scenes ever filmed. Just absolutely unforgettable for its spare staging and drama.