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Tear Jerker: American Dad!
This brief moment from "Pulling Double Booty" when Hayley is outlining her three-way with Stan (posing as his body double) and a waitress (though it is more funny than depressing, it does get a little sad when you realize that once upon a time, Stan really did love Hayley and wants her to be the sweet, obedient girl she used to be).
"Weiner of Our Discontent", when Roger realizes that he was sent to Earth as a crash test dummy and not on some important mission and goes through a month-long depression (though it can be argued that Roger deserved it because of his rude behavior — which spanned from the 1950s to the present — before discovering his true intentions of being put on Earth).
Francine facing the facts that Steve is growing up and moving on in "Iced, Iced Babies" (until Steve comes home crying over Debbie breaking up with him and Francine's creepy, "You can stay with Mommy. Forever" line).
"Man in the Moonbounce", where Stan has fun for the first time in his life, then breaks down sobbing.
Stan being Driven to Suicide in "Every Which Way But Lose", saying that he's a big fat loser who doesn't deserve to live because he lost one game in life.
Stan's Best Friend: The story of how young Stan was forced to kill his dog because he thought he had a terminal disease (Turns out it was because his mom was moving into an apartment that didn't allow dogs or cats. Rabbits, however, were only allowed on a case-by-case basis). Even Stan said the story was so sad, that he wasn't going to undercut the flashback with a joke.
The entire episode is a tear jerker with Stan being determined to keep Kisses, the family's new puppy, alive after it gets critically injured by a group of pirate cats that crushed it with their hot air balloon's basket. Steve spends the entire episode crying his eyes out seeing that his new pet is on the verge of death. The biggest tear jerker comes from Stan slowly accepting the fact that his puppy will never be the same and keeping it alive in its Frankenstein-like state was just making it suffer, so he puts him out of his misery.
Klaus on the brink of tears after Roger rudely tells him that he's not a pet because nobody loves him.
Stan not winning the respect of his neighbors in "I Can't Stan You". Sure he is a jerkass but he just wants tobe loved.
The subplot with Lindsay dying from staph infection after breaking her leg in soccer on "Adventures In Hayley-Sitting".
National Treasure 4: Baby Franny: She's Doing Well: The Hole Story puts a depressing new light on all the previous Francine-centric episodes where she either tries to find a career or some new form of fulfillment beyond what she has. Because she was saved from a well when she was younger, and a firefighter died though not really so she could live, Francine's previous attempts at jobs and careers were all to prove that her life really was worth saving. She's felt that she's done nothing with her life, meaning that firefighter died for nothing and it's on her head.
The flashback of Roger's most memorable moments on "Naked to the Limit: One More Time" when Roger is about to go back to his home planet ( in the end he doesn't but it still hits home) set to Suicide is Painless (best known as the theme song to M*A*S*H, both the movie and the TV show).
Stan giving Roger the American Flag pin he always wears on his lapel, right before the latter is about to leave.
A large amount of the episode "Lost in Space", but especially the Majestic musical number. Jeff is being shown supposed proof that he never loved Hayley at all, and he cries and falls to his hands and knees at the footage of him not appreciating his wife enough, now with the knowledge that he may never see her again. Scrappy or not, you'll just want to give Jeff a hug after that.
When Jeff confronts the Majestic, he finds out Emperor Zing is forcing it to show only bad memories, or else he'll get killed.
Also take into account of the Fridge Horror, all the alien slaves are being kept from their true love, and probebly took the majestic test and failed. One alien is seen crying at the begining and another was so depressed he hit the bottle (althoguh the latter was also a funny moment), and it's understandable. Also during the start of the revelution, Roger's people and the slaves were all angry at Emporor Zing for his lies to them about love, that they were seperated from their loved ones for nothing.
What about the side plot parodying What's Eating Gilbert Grape? from "Irregarding Steve" Even in squirrel form, seeing Gilbert and Arnie's mom dying while Arnie desperately tries to make her wake up (thinking she was asleep).
Steve's prom clone Glitter's "death" in "Steve and Snot's Test-Tubular Adventure".
That episodes end credits are played over the image of Snot crying next to Honey's body, holding the macaroni necklace she made him.
In "Office Spaceman", when Steve and Hayley find out about Francine's hatred of left-handed people stemming from her upbringing at a Christian orphanage, they try to talk her into acceptance of lefties. When that fails, they show her a fish just like the one she was repeatedly smacked with to comply with the nuns' teachings. At that moment, Francine breaks down crying in total shame.
Francine:(sobbing) It's true! IT'S ALL TRUE! Oh what you must think of me!
In the "Ricky Spanish" episode, Steve's pet butterfly who, in a jar, had been dropped the port and into the sea... while still in it's cocoon. How it then exits the cocoon, only find itself trapped until death, is an extremely depressing scene.
The whole of "Independent Movie". The jokes are few and far between, the main story being a genuine attempt by Steve to help Snot come to terms with his estranged dad's death and when the ending hits.
Roger's sad song about his bond with Steve changing and breaking in "E.T. The Abusive Terrestrial". For all the shitty things Roger's done it's hard not to feel bad for the guy.
"The Kidney Stays in the Picture": Stan still going through with donating his kidney to Hayley in "The Kidney Stays in the Picture," despite the chance that Hayley may not be biologically his.
The films that Roger's persona Tear Jerker produced. The first was about a mentally handicapped alcoholic Jewish kid whose puppy dies during the Holocaust. The other? Several hours of a baby chimp trying to revive its dead mother! Considering those films were deliberately designed to get audiences to cry themselves to death...
The scene where Francine accidentally kills a bird that had been 3 days sober. This stuff is to be expected since this is after all, the sister show to Family Guy, but come on. That was just mean.
"The Full Cognitive Redaction of Avery Bullock by the Coward Stan Smith" becomes very melancholic towards the end, when Stan realises that Bullock is suffering from dementia except not really and decides to kill him rather than let the CIA turn him into a vegetable. It winds up becoming deeply depressing watching Bullock having a clear mental breakdown, and watching Stan trying to give the deputy director the best day of his life before going to Mercy Kill him.