For reasons that would take to long to explain here, my campaign requires are certain feel of fear and paranoia for my PCs. There will be quite a few failed assassination attempts and so on.

To really deliver this feeling of threat and fear for the lives of character, I want to kill an NPC in a fashion that the death is most dramatic and touching.

The NPC is a member of the watch and will only be around for somewhat 3 to 4 hours (3 days in the game) [1]. He will save the lives of my PCs 2 times.

Are there any other measures and improvements I could take to make the death as dramatic and with as much impact as possible?

[1]: 2 days is not much in "real-life" to get attached to someone, but I assume that if there was a policeman or policewoman protecting you over 2 days and they suddenly get slaughtered, you would be quite scared.
In a role-playing game, you have one more layer or abstraction and players will usually not relate to the fictional world as much. This is the main difficulty that I can envision.