This is based on opinion. Please don't list it on a work's trope example list.
Tearjerker / Background Pony
In Chapter VII, Lyra is forced to watch the ugly breakdown of the relationship between her two best friends, as Twilight and Moondancer are too different to get along without Lyra mediating between them.
In Chapter IX, Twilight completely breaks down upon realising that Lyra's curse is what destroyed her friendship with Moondancer. “First Moondancer, and now you? I d-don't know what's worse: losing friends or losing the memory of why they'll never return...” The fact that her memory is wiped of their conversation moments later does not make this any better.
The same chapter has Lyra's own breakdown in Bon Bon's arms after her brief visit to the realm of the Unsung, though this one's at least half tears of happiness, since it's triggered by an extremely moving act of kindness.
Any time we have to recap what happened to Lyra during the first few weeks of the curse. Whether it was her running around in a blind panic trying to get anypony to notice her, setting buildings on fire as a desperate plea for attention, falling into a state of near starvation and madness or how she once got desperate enough to contemplate suicide....well, its pretty hard to read.
When you're reading through Comethoof's diary, you just know it can't end well. That said, when you get to the point where he becomes forgotten too, even to his love of his life, its heartbreaking. Even though Penny is continually sure Comethoof is an evil rebel who's come to eat her, the Sarosian watches over her for weeks, trying to get her to recover, until she eventually dies since she was pregnant with his now half-existent foal. He falls into pure madness shortly after.
The story is sad enough to make Lyra glad she wasn't in a relationship before coming to Ponyville.
In Chapter XII, the death of Granite Shuffle and Lyra's attempted eulogy for him.
Towards the end of Chapter XV, Lyra's breakdown over her seeming inability to help Snips and his family get away from his abusive father.
In Chapter XVII, Lyra saying goodbye to Nebulous, her father. The fact that he's forgotten her and divorced from his wife since the curse began makes it even worse.
Made even sadder by Lyra not remembering that he is her father, or that he, more clearly than any other pony so far, realizes that something is missing from his life.
The ending, just that ending. Lyra chooses to sacrifice herself to ensure that everything she did remains. Downer Ending indeed, though the alternative options would have been worse.
Made worse when you realize there was the fourth option for Happy Ending. Dawn's Advent, the last song, brings the Unsung pony back to normal by making it like they were never Unsung. However, it was part of Firmaments which imprisoned and kept Aria Unsung. This could mean that Cosmic Matriarch left a failsafe, in case Aria was not dead. All Lyra had to do was to make Aria play Dawn's Advent and it would be as if Aria was never Unsung, never creating Unsung realm and never Unsinging any ponies, like Comet Hoof or Lyra. This may also make Discord never appear in changed universe and Nightmare Moon to never happen. Neither Lyra nor Aria have even thought of this solution Now, you are allowes to cry, realizing that this makes the story truly a tragedy.