Cersei and Jaime Lannister
After managing to escape the fight with Euron, Jaime makes his way into the dungeons of the Red Keep where he meets his sister, Cersei. She begs him to find a way to save her, saying, "I want our baby to live. Don't let me die, Jaime. Please don't let me die."
As the walls crumble around them, Jaime tells her, "Nothing else matters, only us," and the pair die in each other's arms.