I feel like there must be some earlier event, but the one that springs to mind is when John Lennon was murdered. I was in first grade, and a huge Beatles fan.
Oddly, I can't remember exactly how I found out, nor what my reaction was at the moment I learned about it. (Probably my parents told me, though it's just possible that I heard it on the radio or saw it on TV. I'm sure I cried at some point, though maybe not until after the news had had time to sink in.) What I remember very vividly is being in school later that day, and trying to get to grips with the idea that I had spent my entire life living in a world that had John Lennon in it, and that now I lived in a world without John Lennon in it. It might have been the first time I really had to face the concept of mortality.