Even mentioning this moment will be a spoiler, so if you have not seen Trigun this is where you want to bow out.
The Death of Wolfwood is one of Trigun's best moments. To understand why you need to understand not only the character of Wolfwood but his relation to Vash the Stampede. In a lot of ways, the characters are very similar. Both have a very strong sense of right and wrong, both possess strength far beyond your average person, and both hide their own sadness and struggles behind a goofy persona.
Despite being kindred spirits, there is a huge way in which they differ. Vash refuses to kill anyone, not willing to compromise this principle and will opt to try and save everyone he can regardless of the risk he puts himself in. Wolfwood takes a more cynical approach and has abandoned the idea of trying to save everyone, and will not hesitate to pull the trigger and end a mans life if he feels more good will come of killing them then saving them. There are many moments this difference causes tension between Vash and Wolfwood.
Finally, in the end, Vash wins out and Wolfwood, for the first time in the series, opts to not pull the trigger in his last fight. Having turned a new leaf and seemingly very happy with the outcome, Wolf would is shot and killed by the man he saved (Well, not quite, but the details on that front aren't too important).
There are two things that really make this moment hit, and the first being Wolfwood just being a fantastic character, one of animes best. You care for him, his goals are noble, and he's just a blast every time he's on screen, so you really do end up missing him after he passes. But that is kind of a requirement for any characters death to leave an impact at all, Trigun does something else to stand out.
The whole purpose of Vash's actions is to save as many lives as he can, protect as many people as he can. We've seen in the series prior to this he doesn't always succeed, but something else happened here. The Death of Wolfwood came as a direct result of Vash's philosophy. There really is no way around this, Wolfwood died because of Vash. His death had far more of an impact than just making those around him sad, it shakes Vash's worldview to its very core. He now has to look reality directly in the face and accept another man's blood, a man who was his closes friend, on his hands.
And this is a thing that the audience loves about Vash, is his unwavering ability to hold true to his ideals, so to see this happen really is nerve wrecking. It's not the lazy way other shows have gone about it, where people lose faith in their ideals because they failed to live up to them, or they just don't think people can live up to it. We see an instance where his very ideals caused a man to die. This is a bit of an existential crisis that feels more real and has more weight than just about any other I can think of.