I helped defend Whiterun (Imperial) and after few minutes I have received a Letter of Inheritance and 90 gold because Severio Pelagia died. I don't remember this guy, so I searched for him at the Elder Scrolls Wikia and found out that because of that I will have problems with some quests.
Are there a list of such quests that you "must-do-before-something" or it will become unable to complete?
You can see a list of best quest timing in The Unofficial Elder Scroll Page about it (UESP). This site not only suggest you the best sequence of quests to do but also tell you the pros and cons of doing that (including links to quest walk through and item details).
Severio Pelagia will die once you have received the Battle for Whiterun journal entry. The quest is designed that way (and is probably implying that he was in his house when it got destroyed during the battle). This does not have any effect on the completion of the Battle for Whiterun quest, but some quests like radiant quests from the Thieves Guild or The Companions can't be completed (without the use of console commands) if it leads to Severio Pelagia's house.
In Severio Pelagia's house's case, using the console command coc whiterunseveriopelagiashouse will place the player inside the house, allowing the radiant quests to continue normally. The door inside works normally for exiting.
As for the list of similar events which could cause some quests to be unable to be completed, I think this is better indexed in the UESP wiki rather than here. Check out the 'Quests' article or the article of the related NPCs or location, if you want to know what game events could cause a certain quest to not be completed.
Sources:
http://www.uesp.net/wiki/Skyrim:Severio_Pelagia
http://www.uesp.net/wiki/Skyrim:Severio_Pelagia's_House
http://www.uesp.net/wiki/Skyrim%3aBattle_for_Whiterun
