A major death is when someone important in the story dies. There death could have been heroic, gruesome, meaningless, or something else. Usually when this happens the protagonist will spend some time mourning until they overcome their sadness.
Sometime it is the protagonist who dies. If this does occur the story may be a tragedy and it is just the person's demise, but several stories aren't tragedies because it ends with the protagonist dying without regret. Other option, though rare, include another character stepping up to be the new protagonist.