Magic
(1978)

Corky (Anthony Hopkins) is the killer.  Fats is not alive and is only an outlet for Corky's split personality.  Corky dies of a knife wound to the abdomen, and tells Fats Peggy would never have stayed with him.  Just after he dies, Peggy yells to him from outside the shack saying she'd like to try getting back together.

 Thanks DrummerBrian!