I remember a movie where one of the main characters gets shot while running towards his girlfriend in the rain. And that's pretty muchwhere the movie ends. I thought that "bennie and the jets" was playing as the credits rolled.

I haven't seen it, but according to the discussion here: IMDb :: Boards :: Aloha Bobby and Rose (1975) :: Ending (http://www.imdb.com/title/tt0073941/board/flat/66784423) you've got the right movie.