why do we feel bad when fictional characters die?

We are watching, on Amazon, a popular TV show that had multiple seasons.  We are currently many seasons in and 2 from the end (no more spoilers here!).

Last night, without warning, one of the main characters, who had been central to virtually every spisode from the beginning, was suddenly killed.  I found myself feeling sad, which is, on the face of it ridiculous.

There was a one-minute warning, because the camera focused briefly on a gun, and I am well aware of the theater rule that, if you show the audience a gun, it must, sooner or later, be fired.  There must be a few exceptions, but none come to mind.  Anyone?

What is it about human story-telling that makes Unexpected Death such a primary archetype?  I'm guessing that, in the days when we inhabited tree-tops above the savannah (or even among the fur-trappers of the 1820's), sudden Unexpected Death was not unusual, and feeds the human need for either catharsis (if we liked the character) or schadenfreude (otherwise).

I can only liken the stunned sensation I felt last night to reading about the hobbits trudging thru the Mines of Moria, and Gandalf suddenly disappearing into the abyss with the Balrog.  (Gandalf, if you don't know already, reappears later, so this feeds into the Resurrection archetype, which appears to have had a equally pervasive fascination, but don't get me started).

Downton Abbey had a bunch of these, too, but, aside from Sybil, I wasn't that deeply affected.

With the TV series we are following, we feel the shock and numbness that the other characters feel, and we wonder how we can go on.

Yet, we know we will go on.

The point of all this is that, in these days, Sudden Unexpected Death does NOT touch most of our lives (at least in my particular demographic - the mileage of other humans here on Earth varies considerably).  Encountering this in fiction is (Fate willing) probably the main way we will experience it.  Maybe fiction is a way of letting us know that these things happen, and gives us a model for how to continue to live.

Still, I can't help feeling that, when an author kills a character, she cannot avoid thinking, with satisfaction, "this'll make 'em squirm."

I am currently re-reading 'Hamlet' (eBook) for the first time since High School.  The author writes very well, but I sure hope nothing bad happens to ol' Hammie, since I am growing quite fond of him.