In The Building Where Joseph And Hyrum Smith Died

Jail cell at Carthage, Illinois, where Joseph Smith and his brother, Hyrum, were killed on June 27, 1844.

... a number of excited and bloodthirsty individuals took matters into their own hands, decided to administer justice after their own fashion, and attacked the jail very early in the morning, breaking down the door of the room where the prisoners were confined.  The Smiths were very brave, and defended themselves as long as their ammunition held out, firing their revolvers in rapid succession.  Hyrum was shot first, and then Joseph threw open the window, and in the act of leaping out was killed by the bullets fired by the mob, saying, as he fell, "O Lord, my God!" [Source: New Light On Mormonism...]