That death probably could have saved for the end of the series. Still, it was fun watching him go. He may have been the most evil character ever imagined.
They also could have, very easily, put it at the end of Season 3. But by doing this, by pulling this major event right now, in episode 2, they've once again changed the expectations of the show. In season 1, they killed the main character. In season 3, they killed the hero. But they did all that at the end of seasons. You knew that in the last two episodes of each season, big stuff was going to happen. Now, they killed their primary villain.
This is one of the most unique shows on television, specifically because of this sort of thing.