Ogilvy is one of the three characters whose main job is to be incinerated. He's the first named person we meet in the story, and he's instrumental in the discovery of the first Martian cylinder. And then – bam – he's hit by the Martian Heat-Ray.
Do we care about him? Not really. Even the narrator, who was friendly with Ogilvy, doesn't seem particularly upset by his death. But his death does let us know that the Martians mean business.