Well... in recent years, the only books that have managed to get me going like that were "A Game of Thrones" & "The Sword of Truth"
In A Game of Thrones, I'll admit, I regularly get worried about Arya & every major thing that happens to her tends to shock me.
In The Sword of Truth, it tends to happen more often, but it's mainly because I expect people to die in "A Game of Thrones" & am largely prepared for & immune to that. I still sit there going "No, No, No..." while it's happening, but I let it go afterward. Even the Red Wedding.
When main characters die in A Sword of Truth, its rarer & handled very emotionally. And, on top of that, there are several close calls that get me just as bad. For instance, the end of "Stone of Tears." The deaths that got to me were of two other characters in "Faith of the Fallen" & "Confessor." I won't spoil who they were, but one was a bitter, controlling character whose last words were trying to force another main character into marriage. They essentially got jumped before they could finish the conversation & the character sacrificed herself to save the other.
The other death was a main character, who had magic, was in the middle of a battle in their camp. He saw a little girl being run down by a man on a horse &, forgetting to use magic, jumped in the way. What's worse, he didn't die immediately & his last words were telling several other main characters that it was literally impossible for their side to win the war. Then they caught the guy who did it, who was acting exceptionally pious & proud of what he'd done & wouldn't shut up about how "the Creator" would reward him for it.
