So, this is something that I only thought about recently when I re-watched Attack of the Clones. I think Obi-wan definitely knew that Anakin was going to kill him. I don't know the exact time stamp but in the scene where Anakin and Obi-wan are at the bar, Obi-wan says to Anakin "why do I get the feeling you're going to be the death of me?" Now skip to A New Hope. Obi-wan died while fighting Vader. Coincidence? I don't think so. But what I don't get is that Anakin was able to predict the deaths of both his mother and Padmé but not Obi-wan.