The death of Anders mirrors his life. It is slow and torturously painful.
But he gets the gratification of knowing that his last sight is Hawke, the last sound he hears is the gentle thump of her heart, and the last thing he feels in the drop of her tears on his face. He gets to die seeing the rage and unadulterated hate in Fenris' eyes (its all the elf deserves).
Anders dies protecting her, from the shade threatening to overcome the small circle she created to protect herself. He simply unleashes Vengeance in all his fury, cold and powerful. He allows himself to let loose the full hell of his demon, his self, and now the blood is draining out of him while Hawke desperately tries to mend his wounds.
"Stay with me Anders…" He laughs then, a harsh grating sound, his body convulsing painfully making him wish he had the strength to curl up to stem the pain.
"Its almost sad that I have to die to hear the four words I've always longed for you to stay. Do you tell your dog the same?"
The look of anguish that crosses her face makes him glad he was dying. He couldn't live with this, with hurting her on purpose. He's always wanted to make her feel the pain he has felt, and now he has gotten his wish as he is bleeding to death in her arms.
She now knows the depth of his pain. She feels it; as her eyes met Fenris', as her eyes voice that unspoken question (is there any way...) and her heart breaks at the near imperceptible shake of elf's head.
Anders knows he is still the greatest loser in the great mess that is Kirkwall, because now he's losing her a second time. The last face he sees is her face, her ice blue eyes softening.
The last thing he feels her coarse hands running through his matted blonde hair.
The last thing he says however, is said to the elf that stole his everything. "You won." His heart thumps, once, twice, and he breathes his last breath. And he finally finds some semblance of peace. He died as he lived, full of bitterness and broken promises.
And Hawke can only live with the blame for so long until she has to just let go of him.