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Tear Jerker: Alice: Madness Returns
The end of the first chapter: the Hatter's frenetic and pathetic attempt to have another tea party with his now deceased friends (who were trying to kill him just a second ago) is extremely sad and disturbing at the same time.
The Hatter's death. After all the trouble Alice went through to help him, after a short but awesome moment in which they work together, and after a Curb-Stomp Battle that can only be described as a CMOA... Made more poignant by the fact that the Hatter died having (or trying to have) one final tea party with his dead comrades.