I wouldn't say I've ever been hit by a celebrities death, since I don't know any of them personally (and if I do, they're not dead yet), but there were deaths that did catch me off guard to where I can remember where I was when I heard about them
Cobain
Farley
Hartman
Owen
John Candy (yeah, in retrospect his was expected, but I loved him when I was a kid)
Chuck Schuldiner (okay, his was expected too, but I was a big fan, so if any death did touch me, I suppose this would be it)