This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / A Little Snow Fairy Sugar
The ending theme.
Saga's reaction to Sugar writing an apology note... on her mother's piano sheet music.
The story of the Bear Pianist is this in-universe, though it can cause tears for the viewers as well.
Saga's Heroic BSOD when confronted with Greta getting the piano for her birthday. Sugar's resulting sickness makes it worse, but what really nails it is Saga's memories of her mother and feeling as if she lost her.
The fairies leave Saga at the end of the series. In particular, Saga's line, "Sugar, you're gone now, so I guess it's okay to cry" feels like it could be directly addressing the audience.