First, awesome pic of an awesome character. Rorschach is #1 on my list of superheroes.
Second, my take on the death scene:
Not that I wanted him to die, but the tragic ending worked. I thought that if he lived, Dr. Manhattan would read his mind, then figure out how to stop his message from getting to the world. I've only seen the film once (Director's cut), but that was my impression--that he provoked Manhattan into killing him since he figured he's never going to live freely at that point. Dying immediately would at least prevent Dr. Manhattan from finding out about the journal.
Just got the Ultimate cut for Christmas. Can't wait to see this film again!