Why We Should Have Seen It Coming:
First, the obvious ones.
Early on in the movie, we get a glimpse of Thomas Anderson/Neo's life as a cubicle schmuck where he has a few interactions with regular people that are just lousy with foreshadowing. The first is when Neo sells a floppy disk to the '90s cyberpunk Choi.
Upon delivery, Choi then tells Neo:
"Hallelujah! You are my savior, man! My own personal Jesus Christ!"
The disk is just Depeche Mode MP3s.
In hindsight, this reads like a stealth advertisement for Subtlety in Screenwriting and You, considering that Neo eventually does pull a Jesus by coming back from the dead. But a little less subtle is Choi somehow managing to read from Neo's completely blank facial expression that he is stressed out, and telling him:
"It sounds to me like you need to unplug, man."
This is of course soon followed by Neo literally unplugging a bunch of cables from his body and waking up in the real world through what can only be described as a virgin birth.
"Pee! It's all pee!"
But the biggest clue to Neo's inevitable, messianic death comes from his interaction with the Oracle: the kindly cookie-baking lady who lies to Neo and tells him that he's not the One because he needs to discover it on his own and all that jazz. Except that ... she didn't really lie. When Neo confirms with the Oracle that he is not the One, she tells him he is waiting for something. What, exactly?