Gloria was killed when she was hit by a drunk driver, and her death had a profound impact on Eddie. Her death prompted their mother to order Henry to watch Eddie. This led to the close relationship between Eddie and Henry, as well as Henry's resentment of Eddie.
In the comic continuity it is revealed that Eddie's actions when he was two years old were directly related to her death. Eddie throws Gloria's doll, Dee-Dee, causing Gloria to shove Eddie. While doing this, she unknowingly saved Eddie from the car that hit her.
Furthermore, it is also shown that the "drunk driver" was in fact one of Enrico Balazar's men, Frank, who was paired with Jack Andolini to kill Eddie, not Gloria. The reason Balazar wants Eddie dead is due to the man Eddie will become (the orders were given to Balazar from "his boss". This is similar to the way that the Crimson King tried to prevent a young Stephen King from being able to write in the future.