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Tear Jerker: Blood That Flows
Fate and Precia's interactions in the Shine arc are both heartwarming and heart-rending. Especially when you see that Fate's got a lot of mental hangups being around Precia and Precia's trying to make amends in a very awkward way. It gets more poignant at the end of Shine when Precia dies and passes her magical information onto Fate as a last act. The poor girl breaks down crying and tries to wake Precia up. When it becomes clear that she can't save Precia, she nearly has a breakdown if not for Arf being there to give her emotional support.
Kyrie and Amitie Florian's past is one of the darkest things in this series.
The Strikers Arc has the Fate Worse Than Death that befalls Reinforce at Levi's hands - raped, completely mind-wiped and made into a monstrous killing machine that is forced to fight Hayate, and ultimately her body is essentially killed, leaving her perma-Unisoned with Hayate with no apparent consciousness or individuality. Essentially, she is dead, her power having become Hayate's. She does get better but that is at the end of the Numbers arc.
Little Rio's out-of-left-field execution at Gram's hands at the start of the Revolution Arc.