For Issei in High School DÎD, it's losing Asia in Volume 6 when she got teleported to the void though Ise didn't know it at that time. He then ate Shalba with the use of his Juggernaut Drive and was howling in despair at the sky.
Rei Ayanami's death. Made all the more horrible by the fact that she finally realized she cared about someone about three seconds before it happened.
The scene where Shinji is forced to kill Kaworu.
Asuka's Mind Rape really shows what kind of person she wanted to be, and why she carried out a Jerkass Fašade. It's one of the most effective moments in the series. Too bad some of the audience still thinks she's a one-dimensional bitch.
In Mockingjay, Prim's death most likely qualifies as the saddest moment in the series.
The entire series, that book especially, is basically written to make you feel bad about enjoying violence and drama in the media.
In the final Harry Potter book, Deathly Hallows, Dobby's Heroic Sacrifice/ Taking the Bullet kicked many readers right in the stomach due to how unexpected it was. Hell, many, if not all, of the deaths were metaphorical punches or kicks.
In the Direct-to-Video movie Kamen Rider W Returns: Kamen Rider Eternal, the main villain is a scientist who kidnapped multiple people and imprisoned them inside his special prison camp, called 'The Village', in order to create telekinetic super soldiers. Katsumi, the main character, spends the entire movie trying to free those prisoners, only for them to die after leaving the prison camp, due to having implants in their heads. After the villain starts to gloat about this, you just know its time for ass kicking.
Captain SNES: In a flashback to the 8-bit days, Mother Brain has taken almost all of Captain N's power, called Omega Energy, and used it to make a pit which can defy the inherent innocence of Videoland and kill someone permanently. She initially planned to drop Lana into it, but Captain N uses the last of his power to pause time and save her. He explains that his power can't be taken so simply, as it comes from his friendship with the other characters, including his best friend Duke(a dog)...
Mother Brain: Omega energy is greater than your idiotic friendships! And I'll prove it!
Homestuck's Gamzee in killing the two biggest Ensemble Darkhorse characters in the comic and later on going on to raise the Big Bad, and then mentally abusing Terezi. It's hard to find someone who doesn't want him gone.
Non-game example (albeit in a series about video games): In Life In A Game, it's bad enough that the various Jackals have been harassing and attacking Guy since he came to the Game, but when one of them murders Subplott, that's when he finally loses it.
In Kickassia, when The Nostalgia Critic kills Santa Christ. Santa Christ, he who reads to sick orphans, fights monsters for fun, will mend your curtains for free, and makes really good fondue. And even though the Clap Your Hands If You Believe sequence is played for laughs, Critic's broken look as he realizes what he just did will stay with you for a while.
Suburban Knights does it again with the death of Ma-Ti. He was little more than a living Running Gag, appearing throughout multiple videos to shout "Heart!", got his butt kicked by everyone in the Brawl, and his first appearance established that he wasn't even the real Ma-Ti. But SK portrays him as The Woobie who just wants to be involved with the rest of the group, but is treated like dirt. His Heroic Sacrifice is genuinely tragic, and the Critic is crushed.
And then in To Boldly Flee Ma-Ti has become bitter and jaded, manipulating events so that the Critic will escape the Plot Hole and leave his friends. When he wakes up in his house, he finds out that he's just a character and meets up with Doug Walker, his creator. This is when things get bad.
He later dedicated an entire Extra Punctuation column to examining the Player Punch in Spec Ops: The Line and what made it so effective and shocking.
When Lets Player Nate From the Sunshine State gets to point in his playthrough of Halo 3 where Amanda Keyes is killed from behind by the Brutes, you can hear him loudly inhale in shock... and then he growls in authentic rage, "I don't care what I have to do, I will exterminate your entire f*cking species! I swear to f*cking God!" And for the rest of the Let's Play, every Brute he kills gets a "F*ck you! That's for Amanda!" send-off.