Wun Wun seemed damned near indestructible on Game of Thrones. He could take any number of hits in a battle and keep going, which is why he was such a valuable player in the fight against Ramsay. However this last skirmish proved too much for the giant. Ramsay killed Wun Wun on Game of Thrones just as the battle looked like it was finally won.
Wun Wun was kicking ass up until that final moment, too. He was ripping apart Bolton soldiers with his bare hands and getting riddled with arrows but still powering through. By the time the battle was over, thanks to a surprise last minute appearance by the Knights of the Vale, Wun Wun resembled nothing so much as a porcupine thanks to all the arrows that had hit him over the course of the fight. Still, he was charging onwards. When Ramsay retreated to Winterfell for protection, Wun Wun was the one (one) to rip the doors open so Jon could get inside. Slowing down at last, he and Jon shared one final look – right before Ramsay shot an arrow through Wun Wun's eye.
Wun Wun had survived for potentially countless years, he lived through battling the White Walkers, but Ramsay Bolton was the one to finally take him down.
A few giants have been seen beyond the Wall besides Wun Wun, and they fought with the other wildlings in the Battle of Castle Black back in Season 4. They were killed, making Wun Wun the last surviving giant as far as fans know. There very well could be more giants living beyond the Wall, but with the White Walkers encroaching on their territory, their numbers might be dwindling. With Wun Wun now gone, giants could be extinct.
Wun Wun was not necessarily a character that audiences knew a lot about, but the few facts that were out there revealed a lot about him. He was brave and handy in a fight, using his incredible size to his advantage and seeming to be without fear. He was also very loyal to both Tormund and Jon, considering he stepped up to support them in both "Hardhome" and "The Battle of the Bastards." Since he was so powerful and everyone was so intimidated by him, he could have easily chosen not to get involved with the disputes of men, particularly fights that didn't involve him directly, like the battle against Ramsay. But Wun Wun clearly had faith in Jon, because he decided to stay and help. He was a big factor in their winning the battle at all.
It's a small bit of comfort, but at the very least he died a hero.