After Black Widow frames Hawkeye of betraying SHIELD, she softly admits that she'll miss working alongside him. During the first viewing of this episode, it feels hard to tell whether or not she means it, so it doesn't get especially depressing until 18 episodes later. Widow tells Hawkeye that she really felt guilty, but the two of them also agree that any of her other possible actions could have ruined Nick Fury's plans.
Bucky, kicking Captain America off the missile he is trapped on rather than letting Cap risk his life trying to save him.
Bucky: "Sorry, Cap!"
Captain America: "Stow that talk, we'll make it!"
Bucky: "No, I mean sorry, but the world needs Captain America more than Bucky!"
(Bucky salutes as the missile jets away before exploding)
After the Hulk snaps out of the Enchantress' spell, he discovers it lifted right before he could flatten Wasp, the first Avenger who showed kindness to him. He gently places her on the ground, then considers the possibility that he really is a monster before leaving.
Captain America's period of doubting his relevance in the modern day feels pretty wrenching.
"I should have never woken up. I'm a soldier, not some future man. I can't imagine a world that's changed so much still needs... Captain America."
Tony reflecting at the end of "Everything is Wonderful" about how his plans to save Simon's company and promote his impressive projects fell apart, and his actions instead resulted in Simon apparently disappearing.
Black Panther recalls to Captain America about how he failed his father during the duel with Man-Ape, and tells Cap that since he must also bear memories of failing to save a loved one, he should understand why Panther must defeat Man-Ape by himself.
"459" has Jan accuse Hank of shunning her in favor of scientific experiments and extraterrestrial encounters. While she chews him out on this, the Kree sentry robot fires some missiles at her. Hank defends her from them, but gets knocked out in the process. Right before he goes unconscious, he tries to reassure Jan that he loves her, but collapses before he can finish.
From the same episode, Jan visiting an unconscious Hank in the hospital and apologizing about her attention-hungry behavior.
Black Widow apologizing to Hawkeye about all the suffering he went through after she framed him.
The team mourning Thor's loss in "The Ultron Imperative" is driven home by this exchange:
Hank deciding to leave the team after the Ultron incident.
Giant-Man finding the unconscious Wasp in Jotunheim, and expressing regret that he didn't say "I love you" soon enough.
Cap looking over his broken shield at the end of the season finale.
Hank is noticeably absent from the first four episodes, having quit the Avengers to try and work through some of his issues.
There's something incredibly sad about how Mar-vell tries to have Ms. Marvel understand why Earth had to submit to the power of the Kree Empire. Here's a man who wanted to protect earth at any cost, and now the resistance of its heroes might lead to the destruction of a planet he's fond of. He just seems so torn up.
When watching Ms. Marvel zap Mar-Vell repeatedly, her dialogue can make it easy to pity both of them:
"I believed in you! I named myself after you! All this time I thought you were out there fighting for us, but you were just bringing your people back here to conquer us!"
"I'm not [Ant-Man], Jan. I haven't been since Ultron, and honestly, maybe even before that."
Later, Hank tries to call Jan for help in retrieving the stolen Ant-Man suit, but she refuses to talk to him. She's just as heartbroken at his leaving, and already spent the first part of the episode begging him to come back.
In the same episode, it's very sad to watch Hank's Heroic BSOD. Notably, that his voice is much lower than before, indicating a strong depression in the character.
Not to mention Scott Lang's entire story, a single father trying to do right by his daughter and life just keeps throwing him curveballs.
The Kree separating Michael Korvac from his girlfriend for two years. By the time he finally makes it back to Earth, he gets a reputation as an intergalactic murderer, and his new powers scare his girlfriend away. Adam Warlock's comment that Korvac was no longer in their plane of existence suggest that he was Driven to Suicide by this reaction.
Or, given the final shot of the episode, drifting in some other universe/dimension/plane of existence/whatever, living out the rest of his years in isolation, shame, and grief. Nothing quite says Heel Realization/What Have I Become? like seeing your girlfriend scarred witless and crying, retorting to your claims of protecting her from the monsters with "The only monster I see... is you." Cue Single Tear from Korvac before his grand disappearing act. It's pretty heartwrenching no matter how you look at it.
Plus, the episode ends with a dedication to deceased animation director Boyd Kirkland.
Paranoia about Skrulls causes the Avengers to lose trust in each other. Three of them, Black Panther, Iron Man, and Ms. Marvel even quit the team.
Iron Man: "I started this team because I needed people I could count on, and now I can't. The Avengers are over as far as I'm concerned."
Ms. Marvel: This was supposed to be my welcome party.
The next scene of Tony shows him alone in his office, staring at his mask as it sits on the desk. In anguish, he throws the mask against a wall.
A meta example resulting from this would be the team shots at the end of the opening sequence, and see how the team dwindles with each episode. At some point, the Avengers are just reduced to Captain America, Hawkeye and the Wasp. And Captain America is actually a Skrull.
The tragic backstory of Beta Ray Bill. Basically, Surtur's awakening led to their genocide in what had previously been a relatively peaceful realm (aside from Surtur trapped as a Sealed Evil in a Can, which they didn't know about), with the survivors then pursued for almost as long as Beta Ray Bill could remember.
As bitchy as Amora may have been, one can feel nothing but pity for her when she begs Bill and Thor to help her... by giving her a Mercy Kill. Unfortunately, before they can even try to help her, Surtur takes her back to his hell dimension.
In "Nightmare In Red", Hulk is framed of a crime he didn't commit, and forced by the Skrull Cap to stand down. He turns back into Bruce Banner, to see General Ross grinning like a smug predator. He cries out not to be arrested, before being shocked into submission. All while Skrull Cap just stands there.
After the Avengers and Nick Fury discuss everyone's success in preventing the Skrulls from taking over the world, Captain America sadly leaves the room.
Thor: The Skrulls turned you against each other. Broken bones, destroyed buildings, these things are easily repaired. But broken friendships, broken trust, wounds such as these take much longer to heal.
For context, the fake Skrull Cap had just (prior to the Avengers' epic victory over the invading Skrull forces) convinced the world to surrender. Of course, this being the Marvel Universe, one can assume that they're not going to take too kindly to Captain America (or, at least, some creep impersonating him) apparently selling out humanity. And of course, this on top of Skrull!Cap's other crimes while impersonating the real Cap, like attempting to turn the Avengers against one another, as well as deliberately using the Hulk's trust in the real Cap against him.
"Along Came a Spider" opens with Tony and Steve finding the Captain America and Bucky memorial destroyed. The policeman at the scene explains that a mob of angry, "ordinary" people defaced the statue.
The Bucky statue is intact, yes, but the Cap statue's been beheaded. Later on in the episode, we see more ordinary people turned against Cap and branding him a traitor to humanity.
Blizzard's Alas, Poor Villain moment, in that it's implied he gets killed by the Annihilation Wave. Given how he actually acted as a reasonably nice guy in that episode and Took a Level in Badass, it's somewhat upsetting.
The ending of "Ultron Unlimited". Vision's very thought-provoking statement and the silent reactions of all the Avengers really hits home.
Before the robot Avengers captured Ms. Marvel and Thor, Iron Man told Ms. Marvel that she doesn't do a good enough job at acting like an Avenger, and Thor that he should have never come to Earth. Both of them initially saw this as Tony Stark chastising all the hard work and contributions they've made for the team, even though Robo-Iron Man actually criticized them.
Where to begin with "Yellowjacket"? The Sanity Slippage of Hank Pym, the apparent death of Hank Pym, the dedication of his memorial statue, the fact that crimefighters who previously only did guest spots (such as Iron Fist, Luke Cage, and Spider-Man) also came to pay Hank their respects, the revelation that Hank actually faked perishing in the explosion so he could drive home the point that That Man Is Dead...
And then after all that, Henry Pym still refuses to return as the scientific, well meaning idealist, despite the burst of scientific know-how in his mini-prison. It just feels so wrong that the team's scientific, happy and restrained Avenger might never come back the same again.
The Winter Soldier's origin story from "Winter Soldier" episode. Watching Bucky scream for Cap to help him. When we, the audience know he can't come. It's downright heartbreaking.
Seeing an angry and upset Hulk rampaging because of his unfair imprisonment is tragic at best. Seriously, by the end of the episode, you will want to kick General Ross in the face. HARD.
Hulk decides to become only a part-time Avenger at the end because of how few of the others gave a care about his imprisonment.
Hawkeye and Black Panther again stop Kang from taking over 21st century Earth in "King Solomon's Frogs," but look at it from the perspective of Kang's Well-Intentioned Extremist side. He has Ravonna back, alive and well. The Avengers will proceed to heed his warning and stop the sun from exploding, as later seen in the show. Kang's 31st century empire is safe. However, he and Ravonna can not return to it now that they've lost their only means of escaping Ancient Egypt. Then again, that side of Kang might have died off in season 2.
"Absolute Zero" ends with the implication that the inventor of the Zerobomb killed himself to prevent the Soviets from using any weapons made by him.
"The Last American Dream" traps Steve Rogers in a dream in which he never becomes a Human Popsicle, but instead marries Peggy Carter, has children and grandchildren, and oversees new crimefighters carry on Captain America's legacy. Then Sleepwalker barges in and tells Steve this timeline is All Just a Dream.
In the interview included with the last issue (a Film Comic of the episode "Michael Korvac"), Producer Josh Fine gives a drawn out apology for the lack of a payoff for the Ragnarok storyline. It was Played for Laughs, but it actually just adds to whatever pain you might have felt after Marvel denied Fine and his crew the chance to make a third season. He also sounded worried that fans would take their disappointment out on him.