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There's a theory surrounding the main character of Final Fantasy 8, Squall. It states that Squall was actually killed at the end of disc 1 when he was impaled by an ice shard. The rest of the game is a bizarre dream he is having before he passes on.

Some evidence to support this theory is the fact that, after he is impaled by the ice shard, he wakes up and appears to be perfectly fine with no serious injuries. Squall himself even questions why he is uninjured and appears to be quite confused about it. Also, it would be quite hard to believe that Squall would survive such an attack.