The time I've done this most is during tabletop RPGs, though sometimes I like to bait the idea that someone is a sacrificial lamb but then actually have them survive. I've also done this in MMOs.

Let me start by quoting Village's first sentence:

[quote]I try to avoid that just because I feel like, when you write a character knowing they are going to die, it'll sort of be obvious.[/quote]

This makes sense... but sometimes that's a good thing.

Let's say that we're in a medieval fantasy setting. Everyone has one character. I go out of my way to make an older guy, someone in their 60's or so, who's lost his family, his friends, and is essentially an old knight wandering around doubting whether what he did matters and whether he can still make a difference. Lo and behold, one of the other players is playing a young, idealistic adventurer, someone who is just beginning their journey. This gives me an opportunity to have the old man try and turn that youth into a proper knight, pass on the skills he was afraid he'd never get to pass on, and then face Death's door with a proud look when the time comes.

An example of something I did in an MMO was I essentially made a gnomish alchemist on WoW who... Well, to put it frankly, she was dying of a disease that'd be comparable to cancer. She was young, but she knew her time was limited, and I knew she was never going to cure herself despite that being one of her goals. Everything she did had more meaning, and it gave her a lot more emotion than you'd expect from a perpetually smiling gnome girl because she was secretly wishing she didn't have to die. [i]She[/i] saw her own expiration date. That just helped guide my RP so well.

(Of course, a friend and I got the dumb idea to cure the disease for some reason I forget, but we eventually went back and said "yeah, that was a bad idea that ruined her story." And then we changed it back.)

And there's a ton of other examples I can think of. In a tabletop game I'm playing right now, I'm playing a character in a fantasy setting whose species is immortal but cannot breed. Namely: my character is a genderless warrior who was made for the sole purpose of fighting someone's war, and now that the war is over (lost), they are trying to discover their purpose anew. They are trying to cope with the fact that one day they and everyone like them will cease to exist because no more of their kind will ever be "born" again. In the end, this means that my character is on a quest for glory, for one last hurrah before they inevitably die (which may not happen in the roleplay itself, but you see why this is tragic).

The point is this: I find that some great story can come from writing a character that everyone knows is fated to die. Even if it's obvious as all Hell, you can make it a great place to start, and if the character survives despite that, or if you intentionally are baiting-and-switching their "sacrificial lamb" status with the GM's permission... Well, there's a lot of potential there. I'll leave it at that.

As for the how of doing this, here's what I say:

1. Make sure the GM knows, especially if you plan to bait and switch. Make sure they're okay with it.
2. Take the potential death seriously. It doesn't need to be a long, extended death scene; it can all end in a wink. Take it seriously either way.
3. Since roleplays can be unpredictable, be ready to consider what happens if the character [i]doesn't[/i] die, or be ready to consider what happens if the death is just an unfitting one.
4. Drop hints, but don't choke up the roleplay with constant arrows of "DEAD MAN" pointing down at your character. That is: don't constantly remind everyone in your posts how your character is going to die. Instead, drop early hints, and maybe a rare couple more throughout the course of the roleplay, and otherwise let things occur naturally. (Note: the hints can practically be freakin' bricks with "BOB IS DED MAN" written on them, but use 'em sparsely. Very sparsely.)
5. And generally just approach any touchy topics surrounding your character's potential death maturely.