The look on Moira's face when she realizes her remains will never be found. The song that plays in the background makes it worse.
In episode, when Moira decides to Mercy Kill her mother, whose ghost then asks her daughter to travel together to the afterlife. Unfortunately, Moira can't. She seems to have a lot of these, doesn't she?
Chad regaining consciousness and weakly trying to reach out for Patrick before Tate shoots both of them. Shows that Chad still cared for Patrick even if Patrick had lost interest or given up on him. Made sadder when later Chad overhears Patrick telling Tate that he hates being stuck with him.
Vivien dying during childbirth, with Ben apologizing and telling her to live while Violet tells Viv it's okay to die, and that they'll be together forever. And all of this happened in episode 11, the penultimate episode.
Maybe it's just me but I can't help but feel bad for Lawrence almost every time he's on screen. he fell in love with Constance who was using him to get her house back, he just wanted someone to support his dream of being an actor and nobody really cared, his wife burned herself and his two daughters to death, Tate doused him in gas and set him on fire burning 70% of his body, he's called on to do the grunt work even though his burns cause him to limp and have an arm he can't properly use and whenever we see him in his dingy apartment it just feels so lonely and empty and sad.
Tate's confrontation with the students he killed.
"I'm supposed to be 34. I'm supposed to be married, and... and have babies...