Jewish male babies being abandoned or killed via Pharaoh orders.
Imagine what it must have been like for Mary, seeing her firstborn Son being beaten, humiliated, murdered in the most torturous and degrading way the Romans could devise - and this is after being told by an angel that God had a special plan for Him. Even if she knew about him rising again in three days, it's hard to keep something like that in focus when your own flesh-and-blood child is crucified and dying in front of you.
On that note, we're told how difficult it was for his disciples to deal with the inevitability of His sacrifice - Peter even pulls out a sword and starts hacking at people in Jesus' defense. Remember, Jesus was more to them than their God or teacher - he was also their friend, with whom they had traveled and did life for the past three years. Imagine if your best friend one day tells you "okay, now it's time for me to go die - don't try to stop it."
Greek Mythology: Daedalus and Icarus. They were close to escaping their terrible situation, a father with his only child. Poor Daedalus has to helplessly watch him die due to something he specifically warned him against.
Celtic Mythology has a lot of this. "The Fate of the Children Of Lir" has four of Lir's five children die after their stepmother's curse on them is broken by a priest.
"The Fosterage Of The Two Pails" is even worse: Aengus' foster-daughter Enya becomes unable to eat after a Jerkass insults her (and somehow turns her Christian?), so Aengus has to search for the Dun Cow in India and bring it home. After a while of subsisting on nothing but milk, she suddenly gets teleported out of her home to a random spot in Ireland, and wanders around lost until she meets a priest. She gets baptized and starts eating again. Months later, Aengus finally finds her after searching for her since she disappeared, and asks her to come back home. But since Aengus is a pagan god and she's now Christian, she can't. So Aengus sings a lament for his lost daughter before he leaves, at which Enya dies of heartbreak.
For that matter, having your family shun you because of difference in religious belief.
Fridge Horror sets in when you realize that while the Celts strongly believe in reincarnation, Lir's children and Enya die permanently from their conversion to Christianity. Their families are immortal, but they can't see their childrenever again. Considering many of the people who wrote the mythology down were Christianized monks themselves, the focus on both parties' anguish at being separated, and the distinct lack of triumphant conversion to Christianity, one wonders if this wasn't a cultural Take That at being forced to give up their beliefs.