Life's but a walking shadow
Diego and Mia both have an interesting relationship with death. Unlike more series (and, well, reality), death is an entirely different obstacle for these two in that it is not necessarily the end of all things. Rather, they both return from the beyond, albeit in different manners. But it's not just their own deaths that affect them; it's also those of those around them that shape their relationship with death.
Mia
Though it wasn't a literal death, Misty Fey's disappearance was the closest thing to it for Mia. It was one of the reasons Mia left Kurain Village and went into law, giving Mia a goal to work towards. As she grew older she likely understood why her mother disappeared, so Mia focused instead on what she herself could do about it. And when her mother does die, Mia fully understands why: she died to protect her daughter.
The next major death that affected her was Terry Fawles, to the point that it left her unable to work. It was in Terry's death, which she blamed herself for, that Mia felt the despair of failing her client. What it did was help her understand that things don't always end well, even if the true killer is identified.
The third, of course, was Diego's. Like her mother, Diego didn't actually pass away, but it was certainly as if he was dead. (Even some newspapers wrote that he'd been killed at the time.) Diego left Mia alone to face the world on her own, and though she still found her strength, it left her lonely.
The next death was her own. The effect it had on her goes without saying, but it is not the bitter end for Mia. Thanks to the Kurain Channeling Technique, not to mention Maya and Pearl, Mia doesn't leave Phoenix the way Diego left her, instead returning to guide him.
The last death also does not end with death — instead, it's a new beginning for that person. Dahlia Hawthorne's sentence is finally carried out, and in death she tries to get the revenge against Mia she never could in life. Not that she manages it, since by then, Diego has returned as Godot and can protect Mia once again — this time, through protecting Maya.
Diego
For Diego, the first death is his own. As I wrote above, though he isn't actually dead, it's as if he is. The coma took him away from the woman he loved and didn't release him until far too late.
Because when he wakes, Mia is no longer among the living. And for Diego, it is a fate worse than death. He decides to seek revenge on Phoenix Wright for not protecting her, but before he does, he changes himself in accordance with how the coma changed him. He buries the name Diego and becomes the masked prosecutor Godot, all for Mia's sake. And it's only when Dahlia dies that he can protect Maya the way he swore to. In doing so, he seals his fate.
Suicide?
Though they were both murdered (or nearly, in Diego's case), it could also be argued that it was suicide. Mia knew the risks when she went after Redd White, especially with all the research she'd down on him. As such, she was probably well aware that if he got wind of what she was doing, she'd be killed — which is exactly what happened. The same is true for Diego — he was careless in facing Dahlia one-on-one and paid the price.
The real suicidal behavior, though, comes from Diego in the last case. Even with the blood left behind, Godot could have steered the trial in a completely different way to escape the crime entirely. But instead, he drives Maya to stop protecting him and make the shocking truth known.
For Godot, this is the end of the line. It doesn't really matter to him that he'll be faced with a murder trial of his own — what matters is that he protected Maya from Dahlia. Surely his life is all but over as a result, but then, it had already ended five years before. What it really means is Godot's death, so he can return to being Diego Armando. As Mia says to Phoenix at the end of the game...
"You saved him in the only way possible."