Tom,
It is Season 3 - the one currently finishing on Channel 5 - when Shannon Doherty (aka Prue Halliwell) dies/gets killed.
As much as I found Season 3 less interesting than the previous 2, (mainly down to the facts they relied too much on Cole, gust music artists, and irritating monster-of-the-week type stories), I will still be watching Season 4 when it airs on Channel 5 in the new year!
Pooch
P.S. My fave Charmed one is, without a doubt, Holly Marie Combs - aka Piper Halliwell.