I was thinking of the Dexter season 4 finale as well! That finale was amazingly done. Rita's death came out of nowhere and was a huge shock much like Gwen's. Unlike the Dexter finale though, some from of resolution is needed for the second film, Spider-Man is not Dexter and the audience would not except it the way the Dexter finale was. The third season could act as the Dexter fifth season where Peter has to cope with her death and move on becoming stronger in the process. Mary Jane (hopefully established in the second) could play a similar role as Lumen, developing a close relationship with Peter and eventually a romantic one. The Black Suit could also play a role.
The death of Gwen Stacy could really work in the second movie if done right and really shape the trilogy in a positive way. That said I would prefer her to die in the third movie so that more plot development and characters could lead up to it. It would be more difficult to do that though because the audience expects the trilogy to end on a happy note.
What I really don't want to see is Gwen's death, everything sad, then BAM! Mary Jane, everything's okay. They aren't going to do it though so I don't need to worry.