Matthew's death. Though there's plenty of foreshadowing, it's still shocking.
Also, Gilbert almost dying in Anne of the Island. Anne's anguish can be palpably felt.
The death of Joyce, Anne's first child who lived for less than a day.
Even more so, his last letter. And before that his anguish over how he was afraid to enlist and thought himself a coward for it. His and Rilla's final conversation before he goes overseas is at once beautiful and tragic.
Anne's childhood before she came Marilla and Matthew.
In Anne's House of Dreams, the entire back story of Leslie Moore, including seeing her brother crushed to death under a wagon, her father's suicide, marrying a horrible man so he wouldn't evict her mother, her mother's subsequent death, etc.
In Anne of the Island, in which Gilbert professes his love for Anne and asks her to marry him and she tells him she can never love him.
Anne's childhood friend Ruby Gillis admitting that she is aware of the fact that she is dying, followed by her death in "Anne of the Island"
Little loveable Bruce Meredith drowning his own kitten in hopes it will bring the missing in action Jem back safely. A horrifying moment by anyone's standard, when one considers this is a young child willing to kill his very favourite pet and actually believing it will make Jem return.