Anytime Gob is sad. The guy is a huge jackass, but it's made very clear that his jerkassery is a by-product of how utterly miserable he is. Not to mention his tendency to brush things off means that whenever something actually gets to him it's really bad.
Michael's life in general can be pretty depressing too, especially in Season 4. He's lost his wife to cancer, he could possibly be sent to jail for crimes he didn't even know were committed, he without a doubt has one of the worst families in existence, and to make it worse, over the course of Season 4, his relationship with his son is slowly deteriorating, It's remarkable that he hasn't had a nervous breakdown yet.
Episode 6 - 'The Ocean Walker': Michael's and Rita's farewell.
One of the overarching themes of Season 4 is Michael and George Michael's relationship going completely to hell.
Episode 1 - 'Flight of the Phoenix': When Michael thinks (correctly) that George Michael wants him to leave his college dorm room that they've been sharing. He grabs all his stuff and starts packing it in a suitcase like it's no big deal, apologizing for crowding George Michael and saying that he could find another place to live, even if he had to put his law school classes on hold, which he also did when George Michael was born. George Michael looks so conflicted and sad that it hurts, and then Michael starts choking on his words because he's about to cry. George Michael 'clarifies' by saying that he was talking about something else, which just makes the moment worse—he can't bring himself to hurt his dad.
Later, Michael votes himself out of his son's dorm room expecting everyone else to vote against P-Hound, the other roommate. However after finding out three out of the four votes reading "Michael", he for some reason, still opens the final piece of paper, written by George Michael, which shows the word "dad" crossed out, and "Michael" written below it.
Episode 5 - 'A New Start': Tobias falling in love with another woman, drug addict Debrie Bardeaux. Forgetting for the most part his own acting career, he goes beyond the call of duty to push Debrie to succeed, and protect her from her detractors. She in turn has more faith in Tobias than Lindsay ever did. But then, after many failed attempts to follow their dreams, she leaves him sleeping on the streets.
In the same episode, Tobias returning to Sudden Valley in the hopes of crashing with Maeby. Also terrifying in that John Beard and his crew clearly cross the line and the violence is particularly brutal ... instead of recognizing the Un Entendre nature of what Tobias tells them (there are plenty of red flags), they immediately make the "sex offender" context assumption, and send him to the back porch for a senseless (and in real life very illegal) beating.
Episode 7 - 'Colony Collapse': Gob's entire Season Four storyline is rather heartbreaking. He bounces from failure to failure, ruining all of his relationships (with Ann, Steve Holt and Mark Cherry's group) and eventually developing a dependency on what becomes an endless cycle of roofies to help him forget the embarrassing and depressing events of his day-to-day life.
Episode 9 - 'Smashed': Tobias sees a chance to get back together with Debrie, under the pretences of putting on a musical. The whole episode is rather heartwarming until it starts to turn dark. It ends with Debrie succumbing to her drug problem, and under the current circumstances — burned bridges with the rehab clinic and a Fantastic Four musical to put on — there's nothing Tobias can do except leave her passed out in the dumpster.
Episode 10 - 'Queen B.': Possibly the ultimate tearjerker for Season 4, Lucille requesting a real divorce from George after finding out that he had been sending his brother to fill in for him during her house arrest and prison sentence.
Episode 11 - 'A New Attitude': GOB's story is finally starting to look up. He finally finds a genuine emotional and romantic connection, probably for the first time in his life, to Tony Wonder of all people... But then even this is taken away from him by his internalized homophobia and conventional ideas about masculinity which prevent him from wholeheartedly pursuing it (although the end of the season does hint that he and Tony might still have a chance together).
Episode 12 - 'Seņoritis': There's something really, really sad about Maeby feeling like she has to go through something over and over again, repeating her high school senior year, in an effort to get her parents' attention. This approach even backfires on her.
Episode 13 - 'It Gets Better': Michael forces George Michael to tear up a check that his grandparents gave him to buy a new car, on the pretense that Michael sold his company shares to Lucille 2 and thus put the rest of the family in a financial bind.
Episode 14 - 'Off The Hook': For Buster to finally distance himself from his twisted relationships with both Lucilles in favor of a normal (by AD standards) relationship with Ophelia Love is a potentially awesome character arc. Then it turns out Ophelia is the shallow type... Buster is used and discarded. Completely dehumanized, a chance encounter with Tobias at Cinco de Quatro leads Buster to finally snap. Had Tobias known about Buster's situation, he would have been able to empathize, knowing full well the pain that comes with loving those too selfish to love you back. This would have effectively prevented Tobias's suggestion that Buster (and his enormous artificial hand) are terrifying enough to be The Thing in his musical. Then we have whatever Buster does next, with implied connections to Lucille 2's disappearance, triggered by the idea that he really is a monster.
Episode 15 - 'Blockheads': When George Michael punches Michael in the face and the looks on both their faces immediately afterwards. The look on Michael's face shows how he's finally realized that he's lost any respect his son had for him due to his deceitful actions. At the same time George Michael looks completely shocked that his father would would knowingly date the same woman as him. Seeing the relationship between a father and son breakdown so thoroughly and completely is absolutely heartbreaking.