It could be the anime Tower of Druaga. Here is the synopsis :
It has been eighty years since King Gilgamesh defeated "the tower" single-handedly, and now the tower is reborn again. The "Summer of Anu" is a season that comes every few years during which the powers of the monsters within the Tower wane thanks to the grace of the great god Anu. Each Summer of Anu, the armies of the Uruk Kingdom secure their strongholds within the Tower, aiming to eventually conquer the upper floors. The story begins with the third Summer of Anu. The city of Meskia is the first stronghold built on the first level of the Tower. In addition to the Uruk Army preparing for their third campaign against Druaga, innumerable adventurers called "climbers" have been drawn to Meskia by rumors of the Blue Crystal Rod, a legendary treasure believed to be hidden on the top floor of the Tower. Jil, a young guardian, has traveled to the tower and Meskia, the last safe stop on the first floor of the tower. The story follows Jil, a new climber who wishes to reach the top floor of the tower. On the top floor is the evil lord Druaga, and numerous monsters and traps inhabit the floors along the way.
The second season, titled The Tower of Druaga: The Sword of Uruk, picks up "half a year after" the events of the first season. With Druaga's guardian defeated, the monsters of the tower have disappeared and a period of peace and prosperity have descended upon the people. Jil and Fatina, having survived the tower's collapse, attempt to move on with their lives while still coming to terms with Neeba and Kaaya's betrayal. This all changes when they rescue a mysterious girl from a group of soldiers. They learn that this young girl, Ki, may be the key to unlocking a great secret within the tower. Armed with this knowledge and haunted by a troubling vision of the future, Jil once again prepares to climb the tower.
It matches with a good part of your description :
- We follow a group of knights/adventurers trying to defeat a big villain
- One of the female characters dies (Although I don't remember if they get married beforehand)
- Our main character is a boy, and his love interests betrays them at the end of the first season, but help in defeating the bad guy in the 2nd season
- The bad guy of the second season is the older brother of the main character
- At some point there was a filler where the main character was sent into an arcade game, and the player was his love interest
- It aired on Animax, between April 1, 2008 and January 8, 2009
(The first episode of the first season is more of a joke than anything)