When you infiltrate Juan Borgia's party, one of the courtesans working for Ezio is grabbed by Juan Borgia himself. Their ensuing conversation implies that he suspects she is Up To Something. Needless to say, she turns on the charm, and it seems like he's just going to have sex with her. Then, without warning, he strangles her to death. She basically gave her life for the cause, it is as tragic and worthy of mourning as any fallen assassin recruits.
Brotherhood has series of massively hard-hitting ones in Ezio's repressed memories of Christina.
The first is relatively innocuous but the second memory is immediately after the execution of Ezio's brothers and father, where he has to carry their bodies to a boat to give them a proper burial. One can tell from the way Ezio is talking and moving that he's felling hate and rage and grief but is holding it tightly in check...and then he has to tell Christina he is leaving.
The next two memories go hand-in-hand, with Ezio returning to Florence and discovering Christina in an arranged marriage. She still loves him, and wants to go with him away from the marriage, but Ezio knows his quest for revenge makes it impossible for them to be together, and he gives her a long, passionate kiss as a farewell. The only thing he can do is give the other guy a If You Ever Hurt Her threat. Then, the next memory starts years later with Christina in Venice, and Ezio masquerades as her husband to steal a kiss from her. She takes off his mask, discovers Ezio, and the subsequent scene has a heartwrenching What the Hell, Hero? moment as she yells at Ezio for leaving her to her marriage despite the fact that she loved him. The heartbroken look on Ezio's face is the real kicker.
The final memory is the worst, as Ezio returns to Florence during the Bonfire of the Vanities to discover Christina being attacked by Savonarola's men, and she is mortally wounded. Ezio takes her into a small garden, and as she lays dying in his arms, he tries to apologize for never being with her. She tells him he was always with her, and gives him his necklace back. It ends with the single most gutwrenching use of Ezio's Catch-Phrase ever.
Requiscat in pace... my love....
There's one more immensely subtle element of the Cristina memories: the "Christinas" that Ezio interacts with in Rome to trigger the memories look like Christina, but if you examine them closely, they're just young women who happen to resemble her in hairstyle and dress. And you know how, after you lose someone close to you, you keep seeing their faces in a crowd? Ezio seems to keep seeing Christina while walking around Rome. No wonder he is so intent on rescuing Caterina from the Borgia. He still hasn't gotten over Christina's death, poor guy.
Even more subtle are the loading screens leading into the Cristina memories. They only feature glowing outlines of Ezio and Cristina and you can control Ezio as to chase after Cristina, but you never catch her. Just like Ezio was never able to be with Cristina.
In the final sequence of Brotherhood, Desmond finds the apple of Eden, and the world freezes as soon as he picks it up. The apple directs him towards Lucy, and with his hidden blade drawn he gives her a stab in the stomach. The two fall to the floor, with Lucy bleeding heavily. The screen then goes black, and the credits roll, making millions of players across the world shout "Damn it!"
It's especially distressing that the player has to mash a button while the scene plays out, ostensibly to resist what's happening, but no matter how fast you press the button you draw ever closer to Lucy. By making the player do this, it puts them in Desmond's situation in a very real way—trying with all of your might to resist something, but no matter how hard you try you can't stop it.
In Brotherhood, completing all the glyph puzzles reveals the origin of the voice in the Animus: Subject 16. Compiling subsystems. Infrastructure. Tendons. Heart.Voice. All that whispering about being lost and alone was Sixteen trying desperately to claw his way into consciousness. After all his suffering, he still can't die — can't let himself die — because he has to help Desmond. And with all his energy he can only make contact for a few moments at best. Like Desmond, Altaïr, and Ezio, he has a long, terrible path before him, but unlike them, his continues even past when he should finally be at peace.
Project Legacy gets pretty damn depressing in places.
The implied fate of Fiora Cavazza, as seen through the eyes of a child, ends on a very bleak note.
I ask Papá if he will hurt her. He tells me he will.
Similarly the whole sequence of Giovanni playing with his "aunt" Lucrezia highlights how much he's taking after his father, and goes straight for bittersweet at the end.
I ask Zia about my Mamma, if she knew her. She says she did. My Mamma was young. Too young to know what she was doing. I ask where my Mamma is now. Can I meet her? She says she does not know, but she does know my Mamma loves me.
While it's basically a Non Standard Gameover, if you fail in the mission to rescue Bartolomeo's wife from the Baron De Valois, you get a nice little scene of a gun being lowered to Pantasilea's head and her brains being blown all over the wall. If nothing else, it's good incentive to be more careful next time.
Very early into Brotherhood, the attack on Monteriggioni. After killing a bunch of invaders on the outer wall, Ezio sees Cesare about to shoot Uncle Mario. He races across the rooftops, but he is too late. After we're assured that the enemy only has guns because they're holding Leonardo hostage, two gunshots go off, wounding Ezio and killing Mario. The three remaining Auditore are forced to leave the villa through an underground passageway, and you'll have to go the rest of the game without the armor of Altaïr.
The worst part was seeing the unstoppable Mario stumble through the ruined gates and falling as the Borgia just strolled right in. Then Cesare orders one of the guards to give him "the gun his friend [Leonardo] fashioned for us."
Back to the armour: seeing it destroyed on the floor also doubles as a kind of Player Punch, especially for those who really liked Altaïr. At this point it's the last thing connecting the player to the original assassin and losing that is...hard on some, to say the least.
The fate of Caterina Sforza, spoken of off-handedly by Shaun. She never retakes Forli and dies a few years later in Firenze from pneumonia. Her fate is worse even, considering that her attitude and vocal rants may make her popular with modern fans, in the 1500s, it made her unpopular, and was, according to Shaun, why she wasn't able to retake Forli.