Yeah, don't foreshadow it. Make it necessary (the main character could, for some reason, never have won if this hadn't happened) and meaningful (so that she doesn't feel like just a red shirt). That's how you keep readers from becoming angry and cheated.
Also, I like Rocket's comment a lot. That's a really good point: make sure your romantic interest isn't the most interesting character in the book. If she's the one you're rooting for most, all romance aside, OF COURSE readers are going to lose interest after she dies.
I once read a series with a character I absolutely, absolutely loved. Fascinating, weird, interesting, and I was totally rooting for him. Halfway through the series (fantasy / mystery), this character died. (This was not a romantic interest. It was actually an antagonist.) It was shocking, it was meaningful, it was completely well-done -- and yet, I hated the rest of the series. Why? Because I no longer had a character I LOVED to root for. The rest of the series just seemed blah in comparison.