fiction - Killing the protagonist - should it be done?

I am an aspiring author, but I have written several short 'test novels.' With each of those, it became increasingly clear how you have to develop the main character, the protagonist. After all, the story is about the protagonist. The reader needs to like the protagonist and want him to win, otherwise he will stop reading. Therefore, I am unsure about killing off the protagonist. This is not because I like the character too much, but because the reader might stop reading.

I looked up Killing off a Character, but it didn't quite answer my question: Should you kill off the protagonist. It dealt more with main characters - characters that are important to the novel but not necessarily the protagonist. My question deals more with the hero, the person everyone is rooting for. How can you kill that person without losing the reader? Is it possible at all? Is it even advisable?

Looking over the above linked question, I understand the points being made. Don't make the death meaningless, don't kill someone just because he's in the way, etc. The death has to mean something. But how can you justify anything the death has to prove by killing off the hero, basically the main reason the reader is reading?

This question is especially a problem for first-person novels. If the hero keeps on narrating after death, the reader is probably going to wonder where he is. Heaven? Hell? Did the character die at all?

The only place I could see the hero dying without catastrophic results would be at the very end of the book. If his death can prove something and then the book ends immediately after that... that could work. However, the problem still remains that the reader will doubtless be displeased.

So is it advisable to kill the protagonist? If it is, how can you do so without alienating the reader?

EDIT: After reviewing all of the excellent answers that have been submitted for this question, I feel that most of them each have a part of the answer. If I were to choose one, however, I would have to select the comment supplied by @GreenAsJade on clockwork's answer, which was also very good.

Answer

It's definitely possible to do this without losing the reader. The New Testament is a story where the "protagonist" dies towards the end. I'm sure plenty of readers are quite satisfied with that.

Much like the Gospels, killing the protagonist is advisable only if it really means something.

Emphasis on the really. Even if you make your character a martyr whose death brings about a sweeping social change that lasts for centuries and cleanses you of your sins, it doesn't mean anything if your reader doesn't care. Does your reader sob when the protagonist finally breaks the chains of his oppressors and dies a free man? Does your reader smile at the earnest deathbed confession of your protagonist, who has finally come to terms with his life and family after all those years of struggling? Can your reader not stop thinking of the warrior who bravely held her ground until the very end? Does the death of the salesman point out the futility and meaninglessness in this world and brings up philosophical questions in the reader's mind? Does your reader understand why the death had to happen (even if they wanted a happy ending for the character)? Then you can kill your main character. Delicately. Carefully. Probably with the intent from the very beginning that you're going to kill this protagonist off and that is the definite culmination of their entire purpose or character arc.

Even if their death is at the beginning of the story and the entire rest of the fiction is just flashbacks, it has to mean something and it has to be their purpose. Don’t just shuffle them out of the way by saying, “Oh yeah, and then she fell down the stairs, how tragic, oopsie daisy,” because that's when readers start feeling ripped off.

And there are plenty of stories out there (besides the New Testament) you can look at that pulled this off successfully. I’m afraid to bring any up because, hello, spoiler alert, but I can think of a good one where the death is the main point of the piece. One of my favorite short stories is "Bullet in the Brain" which is a quick read that handles the death of the main character in an interesting way. I think this is a good example of how you've really got a lot of options out there for where and when to kill off the protagonist. It just depends on how you want the story to flow and what kind of meaning you want to give to said death.