I knew Arthur was coming even on my first playthrough, I had played the first one and I knew Arthur wasn't involved, and there's really only one way they could have kept that plot consistency, but r* did a phenomenal job developing a character that was destined for death and still managed to interest the player in their story arguably more than Marstons. His death was poetic and extremely well written.
Objectively speaking I would say Lenny probably IS the saddest death, as mentioned it happens outside of a cutscene, and yet is completely unpreventable. It caught me completely off guard and I honestly waited for the mission to fail at first before realizing what had happened. I was PISSED.
