And I was wrong. Only the Emperor or another primarch can kill a primarch.

Lion El'Jonson (Dark Angels) asleep on Caliban

Fulgrim (Emperor's Children) Daemon
Perturabo (Iron Warriors) Daemon
Jaghatai Khan (White Scars) lost in the Webway
Leman Russ lost in the Eye
Rogal Dorn (Imperial Fists) killed in a Black Crusade, only his hand was recovered
Konrad Curze (Night Lords) assassinated by Inquisitorial forces post HH
Sanguinius (Blood Angels) killed by Horus during the final battle of the HH
Ferrus Manus (Iron Hands) killed by Fulgrim, head given to Horus

Angron (World Eaters) Daemon
Roboute Guilliman (Ultrasmurfs) frozen in stasis the moment Fulgrim "killed" him
Mortarion (Death Guard) Daemon
Magnus the Red Daemon
Horus Lupercal slain by the Emperor during final battle of HH
Lorgar Aurelian (Word Bearers) Daemon
Vulkan (Salamanders) a Perpetual, disappeared after being killed in the HH
Corvus Corax (Raven Guard) lost, last seen heading for the Eye
Alpharius/Omegon (Alpha Legion) One slain by Robot Gorillaman, due to being twins, don't know which