I thought Anya's served several purposes - firstly to show that she finally became fully human and willing to sacrifice herself for others instead, as compared to her behaviour in S3 and a bunch of other rather cynical actions in later seasons, and then secondly of course because a final big apocalypse can't be taken very seriously if nobody important dies in it. There was Spike, yes, but Spike's death was arguably more a good thing than a bad thing, and he went to it willingly (not to mention that he then supposedly comes back in S5 of Angel that I still haven't seen). Anya's death wasn't a gut-punch like Tara's was, no, but I sure found it touching enough, and not that "weird"...