I think that part of what got to me about it was that she was the first semi-major character to actually die and stay dead. It had to start happening at some point, but it was still a shock, that first blow.
Siuan's death was, I think, the saddest thing in the entire series for me. Other than perhaps Egwene, who I really expected to survive, but who went out in a blaze of crystalline glory. Poor Siuan--at least she got that great POV when Rand arrived at the Tower.