What's even sadder is that Batman's on a frantic search for Alfred, and he has to fix the computer and make his Detective Vision work in order to help find him. Once Alfred is found, Batman removes the rubble from under him, only to find that Alfred is already dying, and his "final words" are: "Don't add me to the weight you carry." right before he passes away in Batman's arms from his injuries. As the Dark Knight feels grieved, we get a glimpse of him kneeling beside his dead parents, followed by a brief pause... and a Big "NO!" from him... before he slams his Shock Gloves onto the ground and discovers his Eureka Moment when he hears the voices of the medical staff from the GCPD and the Electrocutioner in his head, then discovers that he has to shock Alfred back to life.
After Alfred is revived, Batman suffers a Heroic BSOD when he takes off his mask briefly, goes to the computer, and reflects on the visions of the dead bank manager, his dead parents (again) and Alfred's Only Mostly Dead body, right before Alfred encourages him. There's even a photo of a young Bruce with his parents while Alfred consoles him, and he starts regaining his composure. After he is called to head back to Blackgate Prison, Alfred tells him, "They need you," and the Dark Knight responds, "No, they need us." So touching. Also doubles as a Heartwarming Moment.
The end of the Mad Hatter questline. Despite Batman successfully saving the kidnapped girl, she is so traumatized by the experience that she's continually sobbing and, when Batman tries to comfort her that everything's fine now, she asserts that it's not.
The final casefile Batman investigates is centered around a double homicide of two wealthy socialites in Crime Alley, mere feet from the site of the murders of Thomas & Martha Wayne. The two were friends of Bruce and had just gotten engaged, only for the man's best friend to kill them out of jealousy. However, when Bruce confronts the killer, he's noticeably angrier than usual and begins projecting his anger at his own parents' deaths onto the killer. Alfred even has to contact him during the middle of the confrontation because of how erratic Bruce's vitals are. It just serves as another sign that Bruce will never get over that loss.
What's also sad, and a little creepy, is that while rewinding the scenario at the crime scene, there's a point where Bruce's parents flicker back into their chalk outlines. This case really touched a raw nerve for him.
Even without it reminding him of his parents, it's still tragic. The victims were apparently friends of Bruce Wayne. This is before the dozens of allies he later gains, so he really doesn't have that many friends.
In this version of her back story, Harley was just lonely and wanted a friend.
Even sadder because she doesn't even gain a friend in the Joker, though she thinks she does. He's just manipulating her. It's so hard to watch because he'll be doing it to her for years and years and it causes her to become Harley Quinn in the first place. Then again, the thing about Joker is that it's constantly ambiguous as to whether Joker actually cares, so it could be a subversion.
She ain't as innocent as you might think, in audio evidence files it's revealed Harleen is an intern of Hugo Strange. She was completely aware of his unethical experiments and even blackmailed Alberto Falcone into continuing to have appointments with Strange.
The fact that (as hinted at in Arkham City, but possibly confirmed here) the Arkham Joker's backstory is from The Killing Joke is incredibly sad and tragic. He's still being pushed to do the job at Ace chemicals... Of course, what we see is how Joker's mind perceives his origins, and the events shown are vague and fractured, hinting that he doesn't fully remember things properly, but otherwise what is shown strongly hints towards the events being at the very least partially true (or as close as we're gonna get to it).
In the interview tapes from Arkham City, Hugo Strange states that this version of his origins is one of the many Joker has told him. Batman is the only thing any of them have in common, though whether he did cause the birth of the Joker or if Joker just became fixated on him after Batman saves him at the hotel is anyone's guess.
Although he's quick to recover, Bruce is genuinely shocked when he learns the truth about Boyle; he was really hoping that they could improve Gotham. Combined with Harvey Dent's fate, the DLC hammers home why Bruce has been Batman for so long: except Gordon, he doesn't trust anyone in authority.