Arrow Season 4 is off to a great start. It's tone is right, the villain is interesting and mysterious, and well, a character is getting killed off. It is a great mystery because almost any of the main characters from Arrow or the Flash could be the one who dies. It is more likely to be an Arrow character because of the reaction that Oliver makes and is someone that Barry also knows/had interactions with. Which doesn't really make the list shorter. Here's a list of all the potential characters I think could be in that grave.
Robert Queen Again
Recently Robert Queen was mentioned in earth 2, as being the Arrow of that universe, it turns out that instead of Oliver surviving the ship wreak in earth 2 Robert did. So the possibility him to go to earth 1 is possible and have a very interesting interaction with Oliver which could lead to him being killed again breaking Oliver's heart.
But it seems more like a Easter egg rather than anything else.
Oliver's Child or His Mother
The Whole Oliver has a child story is one of my favourtie story archs that is happening on Arrow. The show has a way to plant seeds and then leave them to sit in the back of our minds just to throw them back up when you don't expect it, and Oliver's ex and their kid is a big surprise and if one of them died it would be some great TV.
But I don't think they will go this route cause how the fans don't really care for the mother/child at this point.
Laurel or Thea
I put these two in the same section just because they are both in the same situation. Laurel and Thea are the least liked main characters on Arrow. They do stupid things every week and probably are the easiest characters to kill off. They "help" the team, but in my opinion, Laurel is still out of anyone's league when it comes to fighting and should have a year or two (TV wise) to develop or kill her off and the same goes to thea.
But likeliness is under of them dying is under 50%
Felicity was one of the show's best characters until season 3, where they made her into another Laurel by listening to the Olicity fandom which spoiled the connection in my opinion. Killing her off would leave the biggest gap in Oliver's heart and almost break him. There really is very little chance that she will be the one to die (and they are trying really hard to make us believe that she is the one).
Now there are also others like Captain Lance and Curtis Holt, but I want to get on to the person who I believe is going to Die and that is:
Hawkman, aka Carter Hall, is the only Legends of Tomorrow character to not show in Arrow or The Flash to this point, apart from Rip Hunter (who should appear sometime around the crossover event they have). The reason I believe Hawkman is destined to die is... well... because he is destined to die! It is known that Hawkman and Hawkgirl are reincarnations of Egyptians and are cursed to meet, fall in love and then die, and the cycle goes on over and over again. He and Hawkgirl (who doesn't remember him yet) haven't met up but will when Legends or the crossover starts.
Hawkman also has a history with the Green Arrow. It is a thing in the comics where they never got along and while they always disagree, they respect each other. so if Hawkman showed up in the season finale of arrow and sacrificed himself to save Oliver, he would react the way he did in the 1st episode.
But the main reason I believe it to be Hawkman, is because he isn't really dead. With Reincarnation, they can bring Hawkman back whenever they want and that's the main factor. All the other characters have no chance of returning where Hawkman does.