* Worst crisis since end of civil war in 2005
* Protests erupted after president announced third-term bid
* Unrest worries region with history of ethnic conflict (Adds details from scene, background)
By Clement Manirabarusha and Njuwa Maina
BUJUMBURA, May 23 (Reuters) - A Burundi opposition figure and his bodyguard were shot dead in the capital by gunmen on Saturday, a civil society activist and residents said, adding to tensions after a month of protests against President Pierre Nkurunziza's bid for a third term.
Zedi Feruzi, the head of opposition party UPD, and his bodyguard were killed in the Ngagara district, Anshere Nikoyagize, the head of the civil society group Ligue ITEKA, told Reuters. Residents said he was killed near his home.
Burundi is facing its deepest crisis since the end of an ethnically fueled civil war in 2005. The unrest was triggered by the president's decision to seek another five years in office.
Opponents, such as Feruzi, have said it is unconstitutional.
The president has shown no sign of backing down, pointing to a constitutional court ruling that said he can run again because his first term, when he was picked by parliament not elected in a popular vote, did not count.
The crisis has already prompted a failed coup and driven more than 110,000 people to flee to neighboring states for fear the violence will spread beyond the capital. It has unnerved a region that has a history of ethnic conflict.
"We heard a lot of gunfire," a neighbor of Feruzi told Reuters Television. "It's unfortunate because there were army soldiers here, and they didn't do anything."
Feruzi, a member of the African nation's relatively small Muslim community, was a well-known figure although his party was not among the nation's biggest. Burundi has dozens of registered parties.
A Reuters photographer took a picture of a man with a fatal bullet wound to the head and other injuries who locals said was Feruzi.
Ngagara district has been one of the hotbeds of unrest during protests that have taken place almost daily since Nkurunziza announced his re-election bid on April 25.
The presidential election is due to be held on June 26. Parliamentary and local council polls will now be held on June 5, delayed by a little more than week.
After the shooting, residents in that area of Ngagara swiftly set up make-shift barricades on the streets for protection, an increasingly common sight throughout even quiet neighborhoods of the capital.
Police have fired teargas, water cannon and even guns at protesters, who have hurled rocks back. The Red Cross says they have seen about 20 killed in the unrest so far, but emergency workers say the total is probably much higher.
Police say they have not shot at demonstrators. The government has branded the protests an "insurrection."
Until Saturday's shooting, the day had been relatively quiet with few protesters on the streets, following a pattern where weekends have tended to be calmer. But the opposition has vowed to keep on protesting until Nkurunziza ends his re-election bid.
(Additioal reporting by Goran Tomasevic; Writing by Edmund Blair; Editing by Alison Williams)