If they didn't kill characters we liked then we wouldn't have an emotional response to it.
I like the uncertainty of it. You are invested because there is the very real chance that your favorite character will die. I mean look at the body count...
Lori
Shane
Dale
Otis
CDC guy and that chick
Merle
Oscar
Axel
Herschel's son and daughter
Sophia
Randall
Andreas sister
The guy that got bit and slowly turned in season 1
Duane
T-Dog
Then all the other prisoners, henchmen, bad guys...