You mean Paxton, or Lance? If the former, then it really is hard to pinpoint him. After all, he plays one of the lesser known characters and even the gruesome death doesn't make it any more well-known.
Paxton's death in The Terminator
isn't gruesome at all. He just gets thrown against some iron railings and cracks his skull. I think you're confusing him with the guy who has Arnie ram his entire forearm inside his chest cavity. But that's not Paxton.
Paxton's pretty obvious though. He's got blue spiked hair and a tyre track tattoo on his face!
As for Henriksen, he gets an assault rifle and shotgun combo to the face in the police station (at least, I assume it's the face, in fairness he's off-screen when it happens).