This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Borderlands 2
Bloodwing's slag transformation and death. Handsome Jack's taunts throughout the fight make it even worse. You know what's going to happen to her, and there's nothing you can do to stop it. Mordecai's heartbreak and rage after that moment serve as the game's definitive "shit just got real" moment.
50 trillion times worse if you played as Mordecai in the first game. Bloodwing was perhaps the most handy ally a Mordecai player could have, and your sole companion outside of co-op. Seeing her turned into that and having to kill her... god damn.
To show how desperate Mordecai is, at one point he actually believed that Dr. Zed can help her.
It gets a thousand times worse when you get to Opportunity. You can find Blood's headless body put on display somewhere between the residential district and the "museum" where "Written By The Victors" takes place.
Every Roland player who watched that Hyperion pistol's bullet claim his life experienced this on some level. Hell, the entire damn mission where that scene takes place could be considered this after a rather awesome boss fight.
The mission where you have to inform people around Sanctuary of Roland's death helps drive it home. Marcus, of all people, is torn up about it just as bad as everyone else.
Scooter's and Dr. Zed's reaction can be just as jarring, considering they're always depicted as some of the more comical characters of the game. Seeing them relive events of the first game that you yourself went through (Piss Wash Gully and defeating Nine-Toes) is just painful.
Even Tannis gets sad over it, which is a first for her.
Moxxi's reaction really takes the cake though. While all of the people you go to in the quest are heartbroken over Roland's death, Moxxi is the only one who actually breaks down crying.
Good thing you don't have to tell Tiny Tina, who has a picture of her and Roland in a heart-shaped frame. Can't imagine what that'd do to the already questionably stable girl.
Tina:(In a voice completely devoid of her usual life and enthusiasm) Roland's dead? Thank you for... Thank you for telling me. Please go now. Here. I was saving this for a rainy day, but maybe you can use it to take down Jack. Please go now.
The flavor text on the Scorpio rifle you get at the end of this quest just seals it: "Say not in grief, "He is no more." but live in thankfulness that he was."
When heading toward the battle against Handsome Jack, Lilith tells you to stop him at all costs even if it means killing her. Shortly after that Mordecai and Brick get shot out of the sky and drop down into a river of lava and beg you to go on without them. By this point, it starts to look like a Kill Them All situation that's more than a little upsetting for anyone who played the first game. Fortunately you find out after killing The Warrior that the two of them got out and you don't get forced to kill Lilith.
For all Lilith players who also play as Maya in the second game, the whole Angel boss fight and its aftermath are a combination of this and Nightmare Fuel, especially when you realize that without your help, things wouldn't have gotten this far.
Maya came to Pandora to learn more about Sirens and Siren abilities, but instead killed one Siren, condemned the other to being a living battery, and had to fight against a man who used another Siren like the monks used her, only to a much worse degree.
Tiny Tina, full stop. 13 years old, living right next to a bandit camp, with really deep bags under her eyes that could come either from sleep deprivation or PTSD from watching her parents brutally murdered before her eyes. While most of her dialogue is written in a deliberately-zany fashion, the last line she utters at the end of her side-mission series after executing her parents' murderer at a stuffed-animal tea party is just absolutely tragic.
Tiny Tina: (Completely deadpan) Best tea party ever...
It gets even worse when, through a series of ECHO recordings, you find out just how her parents were killed. They were unwilling volunteers in Jack's slag experiments.
Those recordings are just horrifying. The unwilling subject who begs the doctor to let him go because he might have Skull Shivers, the doctor who wants to help him but can't because Jack is threatening her wife, Tiny Tina witnessing her parents' horrific deaths and being reduced to crying and screaming 'Why is this happening?'...
That first one is actually worse...he's asking them to let his husband go because of the Skull Shivers, but didn't care what they did to him. He's given up on himself, but he's going to use his last coherent words to try to protect his husband. And Dr Samuels tried to get them both removed until Jack brought up her wife.
As mentioned above, Tina has lines recorded but unused for Bearer of Bad News. The news singlehandedly deflates her personality and slaps her back into reality, which is absolutely heartwrenching to hear. The dialogue implies that Tina locks herself up in her workshop after that.
In Tiny Tina's Assault on Dragon Keep, it turns out that she's in denial about Roland's death, even saying she wants to postpone the game until he shows up.
Indications of her denial show up in "+5 to Punching: A Bunkers and Badasses Prologue"; whenever Brick mentions Roland's funeral, she avoids acknowledging it.
Patricia Tannis of all people gives you one during a mission in the Caustic Caverns. While you're pushing a minecart slowly down a dilapidated Dahl railway, she gives you a brief history lesson — including how pretty much every bandit and psychopath you've come across in both games used to be normal people — some of them were convicts, certainly, but they were still people. Dahl left them behind on Pandora when it abandoned its planetary mining operations.
Patricia Tannis: We're all broken because of them.
Finding out (Guardian) Angel's backstory. You have to be sick to do that to your own kid and then try to pass it off as a good thing.
Lilith: What kind of person would do this to their own daughter? Roland: The kind of guy who deserves to die.
That mission was a double whammy. First you find out how bad Jack is because of how he treated his daughter. Then Roland gets killed right after, as mentioned above. Very, very hard not to sit there completely stunned at what just happened.
Heck, even Handsome Jack gets a bit of a tearjerker in that mission. Normally, he's trolling and taunting on a level that matches Hazama, but near the end of that mission, he's begging Angel and the Vault Hunter to stop. Then when it's over and you get back to Sanctuary, he puts a call out on the planet-wide ECHO, sounding completely broken. This doesn't excuse anything he does by any means, but honestly, it's kind of hard to listen and not feel a little sad for him.
Really, as much of an asshole Jack is, some side quests give small hints about his background that maybe show why he's such a psychopath, namely that his grandmother was, at best, physically abusive to him, "disciplining" him with a buzz-axe; it's implied his wife was killed accidentally by Angel's powers; he is horribly scarred under his mask; and, to top it off, he was disrespected at his former job at Hyperion. He's still a sociopathic jerk, but, if the hints are true, he's actually had a fairly sad life.
If viewed in the context of Tannis's above line about how everybody is broken because of Dahl, Handsome Jack as a whole is a pretty big tearjerker. A man, just like any other, who was corrupted and broken by a company (Hyperion) and twisted into the monstrosity that is the game's Big Bad. And considering that none of the current generation of Vault Hunters is particularly sane, it definitely hits home.
After Jack's Planet-wide announcement, any and all of his story-related interactions with the player drops his trollish tone and he constantly brings up Angel's death one way or another. In his own sick way, he did love his daughter and he's both sad and pissed at the fact that you took her away.
His backstory becomes so much worse once you play the Pre-Sequel. Instead of a mask-wearing, bullying, trillionaire douchebag, you have a friendly programmer who still is a bit of a jerk, but is rational, has redeeming traits, just wants to be a hero and really did love his daughter; but due to a corrupt sheriff trying to shoot him in the back, his Bad Boss, his terrible childhood, and his own ruthless, vicious, and violent decisions in the face of Zarpedon's plan to destroy Elpis leading to Lilith, Roland and Moxxi deciding they have no choice but to kill him due to his mounting insanity and megalomania, he turns from Jack, the Hero of Elpis into Handsome Jack.
Even his death is sad. His last words come off as less of a Motive Rant and more of a broken man desperately trying to convince himself that he's right.
Handsome Jack: No, no, no... I can't die like this... Not when I'm so close... And not at the hands of a filthy bandit! I could have saved this planet! I could have actually restored order! And I wasn't supposed to die by the hands... of a CHILD KILLING PSYCHOPATH!! You're a savage! You're a maniac, you are a bandit, AND I AM THE GODDAMN HERO!!
The worst part? He's not entirely wrong. Pandora is a Crapsack World, the Vault Hunters don't always behave like paragons, and for all of Hyperion's tyranny and brutality over the course of the game, the areas they controlled were among the few civilized places in the world. Especially after the Pre-Sequel revealed his backstory, you can't help but wonder what might have been had Jack not gone careening over the slippery slope. He could have been the hero Pandora needed... but instead became its greatest villain.
One of Michael Mamaril's lines when he gives you a gun is "I don't need this anymore".
Specifically, Claptrap wants you to send party invitations to Moxxi, Scooter, and Marcus. All three people reject the invitations, ranging between "Sorry, I want to come along, but I can't" and "Hahahahaha...no." After Claptrap sees it's just you and him, he meekly attempts to start the party anyway and you have to sit there for two minutes as Claptrap sadly tries to make the party more interesting; he first has you turn on the radio for some music, he then offers you pizza - of which he ordered about 8 boxes - and apologizes that it's cold, then he tries to blow into a noise maker, not realizing he has no lungs, so he asks you to do it. After the two minutes are up, Claptrap weakly thanks you for coming to the party, even if you were the only one that showed up.
Claptrap's entire story, really. Straight from the beginning of the first game, he gets attacked and damaged by bandits, reprogrammed by Hyperion, attempts to stand up for his kind only to be foiled by the very Vault Hunters who he welcomed into Fyrestone, gets the rest of his kind exterminated as a result of his rebellion, winds up on an icy wasteland, is used as a punching bag by the local bandits, throws a birthday party which only his "minions" attend, and lives in a tiny little corner of Sanctuary away from all the other residents. It doesn't help that by the end of Tiny Tina's Assault on Dragon Keep, everyone alive despises him.
The Pre-Sequel has even worse implications for him. During the events of that game, he would be used by Jack for the latter's rise to power. It means he is indirectly responsible for the events of Borderlands 2 and all the horrible atrocities that followed. And unlike Wilhelm and Nisha (who became The Dragon and The Baroness respectively), he was tossed out and his kind hunted to extinction. No wonder he wants to teabag Jack's corpse; he was used and thrown out, and now everyone on the planet hates him because of it.
In the Caustic Caverns, you can collect ECHO recordings where you learn that the crystalisks were docile, intelligent, and friendly to humans until Dahl ordered them hunted for their valuable crystals. When Booth, the security chief, refused to begin hunting them and actually led a rebellion, the Dahl mining chief shot her dead. To add insult to injury, there's a pickaxe embedded in Booth's headstone, since the last thing she did before getting shot was point out that the mining team only had pickaxes to face off against the security team's guns. The recorder where this is played is on her grave. But the real kicker? The crystalisks apparently not only began attacking the Dahl personnel and humanity in general, but there's a dozen of them on the path leading to said grave, and those crystalisks are implied to be guarding that grave. Talk about Woobie, Destroyer of Worlds.
Making things even sadder? In the very first ECHO you find, you hear Booth playing with one of the crystalisks, which she named Blue, due to its Blue coloration. In fact, one of the awesome moments of the game is the final log, where you hear that same Blue leading its fellows to kill the mining team after they start mining the crystalisks. Guess who the boss of the "Safe and Sound" quest is? That's right: a giant, electricity-elemented blue crystalisk. Named Blue. For the sake of Marcus's lewd photos of Moxxi, you kill the very crystalisk that Booth personally befriended and which avenged her death.
In the Southern Shelf you can find a series of ECHO recordings which detail the final moments of Helena Pierce. The way she is killed is a sudden, petty and vile act on Handsome Jack's part, and a death of a well-intentioned woman.
Captain Scarlett and Her Pirate's Booty is about pirates and treasure, nothing quite sad about that, at least until you embark on the Message in a Bottle quest. Turns out Captain Blade wasn't just a wanton killer, nope, the guy is a straight Father to His Men who only started up with the whole piracy thing to help keep as many people alive as possible by making sure they had food and water. Of course, each of the ECHO recorders you pick up details exactly how his plan fell apart when his crew discovered he hadn't killed anyone and thus decided to kill him and he decides that it's probably for the best. The last few recordings you find take place after he went and killed off his crew because he just couldn't bring himself to let them kill him. The man is so broken by all of this that he just decides to wander off into the desert to die.Yeah, pirates are fun.
The Son of Crawmerax has a follow up to that story, and a tearjerker of it's own: Gaige's father apparently eluded the police and saved Gaige a second time; by killing the assassin who was Grace's uncle. He still has to go into hiding, but Gaige now knows that her father is still watching out for her. Gaige herself will tear up at the revelation.
Sir Hammerlock gives you a quest: finding the ECHO logs of an old boyfriend who was 'studying' (read: punching) Stalkers so Hammerlock can add more information on them in his upcoming book. The hunter, Taggart, starts off entertaining enough to listen to: he's boastful, blunt, and strong enough to make Stalkers explode just by punching them. On top of that, you even find the clumsily-wrapped mother's day present he was planning to give to his mother after the hunt. He's a lovable oaf who takes time out of his monster-punching schedule to leave his mother a message saying that he'll be home soon, and he even locked the gift-box with a print of his knuckles to guarantee that he'll be there to present it to her. Then in his fifth and final ECHO log, we join him in medias res: his entire hunting party is slaughtered and his hands are torn off by the massive Stalker that he named after his mother. And just after he manages to give a sit-rep, it returns to finish him off. He dies screaming for his mother, and the final note on the quest is this:
You found Taggart’s missing chapter and, in so doing, discovered a soul-crushing truth: all the confidence in the world cannot prevent you from dying frightened and alone. But on the upside, you got PAID!
To put a long story short, it isn't a guy dying that made the quest particularly sad. It was more the implicit storyline of a strong, confident adventurer (like the player, mind you) with only one real love outside of adventuring suddenly finding himself helpless and brutalized, far from home, and about to be nothing more than another casualty of a Death World.
While it was probably meant to be funny, hearing Tannis come dangerously close to breaking down as she recounts how her boyfriend was tortured to death by Jack (it was actually a ceiling chair, but this is Tannis we're talking about) was surprisingly somber.
Oddly, the ridiculously-minor character Lieutenant Reiss gets one. The Vault Hunters are tasked with rescuing him (and the valuable power core he was acquiring) after he becomes cornered by Bloodshots. When he's finally found, he's being attacked while on the ground by four bandits. The start of the Tear Jerker is while tracking him down: there are a lot of dead bandits along the way, and even when he's found under attack, there's at least another half-dozen bodies in the immediate area. After killing the remaining bandits, he tells you where the core is, then says that he's going to take a short nap, and to, "Wake me when I'm not on Pandora anymore." Of course, that's his last line, and he expires immediately thereafter. Roland is noticeably surprised to hear that Reiss is dead, saying that he was one of the first members of the Crimson Lance to join the Crimson Raiders. Couple that with the trail of bodies, and you get someone who was a certified badass, and didn't have any of the advantages that the original four Vault Hunters did. Not only that, but the fact that he joined Roland as quickly as he did suggests a similar dissatisfaction with the Crimson Lance. And his final line reflected something that never really gets touched on: they're trapped on Pandora. They're fighting for survival not because they consider Pandora their home or anything, but because they can't leave. They were abandoned there one way or another, and life has only gotten harder, and on a Death World, that really says something. Lieutenant Reiss was a Badass Normal who had survived an increasingly dangerous Pandora for years...and accepted his death with grace because it meant he wouldn't be on Pandora anymore.
Mad Moxxi is easy to dismiss as a Ms. Fanservice, for all her increasingly brutal backstory. That is, until she accidentally makes a sexual innuendo about cannibalism and manages to disgust herself. She admits that the innuendo is just a defense mechanism to deal with the horrors of Pandora, and suddenly everything she's said in the past takes a different tone. She's quickly back to her old self, but we've seen Beneath the Mask.
Even more ridiculously minor than the one involving Corporal Reiss is hearing Mick Zaford relate his son's death to you over the echo. He sounds so frigging pissed, and he's already buried one son and now he's just lost his last surviving one, and adding in to it that Peter thought his dad didn't love him, hoping that he would after making trips to the family cash stash for a few more years. The Zafords aren't great people, but it's hard not to feel a tiny bit bad at offing Peter, though YMMV of course.
One of the worst parts is just before Lucky's Wake, when Mick says he would be honored if the player shows up... And when you do show up, you have to shoot the place up upon request of the rival family, all while drunk off your ass. The fact that you actually met Lucky in the first game and saved him from Bandits makes it all the more difficult. As far as missions go on this game, this one (and really the entire chain of quests relating to the clan rivalry which involved doing the same thing many other times) was the hardest to do. This sidequest is the very reason why a lot of players chose to side with the Zafords during the final mission.
Then you remember that Scooter threatened to kill that guy by himself — and if you let the Preacher at the wake live long enough, he reveals that Scooter buried Lucky alive in an unmarked grave. Lucky had it coming, but still... Damn, that is sad.
Who's really to say that Lucky had it coming, though? Remember two things when Scooter makes that claim about Lucky "ruining Moxxi's girly-parts": first and foremost, Moxxi may be highly promiscuous, but she's also a pretty tough badass in her own right, and she has a lot of connections. Does anyone really think that anyone would survive either the attempt to rape her, or for very long afterwards? Secondly, Scooter himself is well established in Borderlands 2 as a creep and a pervert; one girl ran away and joined a cult of creepy cannibals just so Scooter would stop hitting on her, a second girl commits suicide after receiving a "romantic poem" from him, and his own sister notes that one of the reasons she moved out to the Dust was to be away from him, because she realized he had a crush on her (something that Scooter admits to). Scooter's hatred of Lucky may well be a case of Disproportionate Retribution, even before he murdered him in "revenge".
One of the Campaign of Carnage missions corroborates this idea - he sends you to murder someone for copping a feel off of Moxxi...who later contacts you herself and asks you not to kill the guy, because it was a consensual hookup. In short, Scooter's kind of a tool.
Perhaps a minor one compared to most of the others here, but one of the death quotes for the psychos is "I miss... Mr. Skaggles... He's... licking at my face..."
Krieg gets one too... no, really. Playing as him is a strangely tragic experience. Whoever he was before Hyperion got him is lost. He was irrevocably broken, turned into a monster by Hyperion. Krieg emerged from the experimentation as a Badass Psycho, insane with a need to kill. Krieg's former psyche was sent to the deepest depths of his soul and out of control of his own body. His other personality knows this, and has seemingly given up on ever recovering. A player rips their way across Pandora, occasionally hearing the sane part of Krieg quietly commenting on the action, in an utterly mournful voice. Being a Badass Psycho isn't as cool as it seems.
An added bit that's both sad and heartwarming is the reason why he's working with the Vault Hunters specifically: he's in love with Maya, and thinks she might be the only thing that can help him regain his sanity. The fact that helping and protecting her is the only thing both sides of his personality agree on makes it even more powerful.
His quote in Valentines Day Massacre about his love. He had a family once, a wife, a child. "THE TINY ONE THE SAD-FACED MOTHER AND THE BLUE TATTOO FOREVER AND EVER" Couple it with another: "You're gonna scream, just like she did. Open mouth, open heart, blood and noise forever piercing my skull poisoning me with its psychopathic purple liquid...we watched it all, we felt the knife edge SPLIT down the middle....CAN YOU HEAR ME?!?!?" Man has reasons to be insane.
YMMV, but during his rampages Krieg can sometimes be heard screaming "Never stop the killing! Never!" While it may just be his crazy bloodlust going off, the way he says it sounds... desperate, as if his outer self is terrified of the horrific things his mind will drift to and remember if he isn't focused on killing.
There's the lines spoken by the Hyperion engineers that imply that most of them are Punch Clock Villains who are forced to fight you, such as "I never signed up for this!", "Stop fighting back, you're gonna get me fired!" and "I almost paid off the house...".
Shade's implied backstory in the "Captain Scarlett" DLC. He's the sole survivor in Oasis due to everyone else either dying of thirst or from bandit attacks, and he's so desperate for companionship that he's rigged up the corpses of the townsfolk with echo recorders so he can pretend to have conversations with them. What really makes him tragic is the way he treats the player: he's absolutely overjoyed to finally meet another real person who isn't trying to kill him, and he makes numerous blatant hints that he wants you to keep hanging around the town so he won't be alone anymore. It really makes you want to help the poor guy relocate to Sanctuary or something.
... and then he discovers that there was a massive wellspring of water right underneath the town. Shade's facade briefly drops, and for a moment he seems genuinely unsure as to whether he should rage or cry, before going back to his madness and pretending the corpses of Oasis are still alive.
The worst part is that unlike every other broken person in the Borderlands, who saw the people they cared for die due to crazy bandits or a brutal dictator, Slade had to watch his friends die of thirst. There was absolutely nothing he could do and no one for him to fight against. You could tell that the revelation that there was water all along completely shattered what was left of him.
Funny as the DLC is, Tiny Tina's Assault on Dragon Keep can be summarized as "Tina's complete inability to deal with the deaths of anyone she cares about, especially Roland."
How Tina treats Angel in the game as well. Tina turns Angel into a monster, and has her say things like 'I am the root of your suffering!' and at the end, when Lilith comes to Angel's defense, saying that she wasn't that bad, Tina says 'Nope, cause without her, nobody would have died!
Making things worse? Tina does technically have a point, since Angel was, however involuntarily, manipulating all of the Vault Hunters from the very beginning of the very first game, ultimately setting them up for downfall at Handsome Jack's hands.
Tina: You've done it! The Handsome Sorcerer is dead. And guess who showed up to celebrate? Everyone's favorite invincible knight... ROLAND!
Mordecai: That's— that's enough, Tina.
Tina: And Roland showed up and he was really happy, and everyone lived forever and it was great. The end.
Lilith: Enough! You can't just deny what Jack did to Roland.
Tina: Can't hear youuuuu.
Brick: She's right, Tina.
Tina: So, do you guys wanna do some sidequests, or—
Mordecai: You need to accept it. Roland is dea—
Tina: I KNOW!... I know... But it's my story, and— (Tina starts crying)
While we're talking about the ending, how about the part where Tina climbs up onto the shoulders of Rolands statues, cries into it, and whispers "Goodbye"?
The entire campaign, while initially presented as an off-beat fantasy take on the game with Tina's Denial being initially played for laughs, slowly gains an undertone of sadness as Tina's inability to cope with Roland's death grows and the other vault hunters getting increasingly frustrated with her. Her complete childishness at it, for once, is NOT played for laughs as she interrupts anyone who tries to say "Roland" and "dead" in the same sentence.
It's not really even denial alone; the entire campaign is an attempt to rewrite history so that Roland and Bloodwing are the ones to take down Jack (with the player's help) rather than dying at his hands. "It's my story..." indeed, one that honors them by casting them as the heroes. It crosses over into Heartwarming when seen in that light.
While it's pretty minor compared to the above, Torgue's sidequest "Fake Geek Guy" is pretty sad. Torgue honestly and truly wants to play the tabletop game with everyone else, but Lilith claims he's "only acting geeky because it's trendy" and "big buff guys can't be geeks". After answering multiple obscure trivia questions, Torgue gets one wrong and breaks down crying because he's "not a real geek". Lilith has a minor What Have I Done moment and allows him to play.
Additionally, Lilith reveals her resentment of Torgue is because she was bullied for being a fantasy/sci-fi geek as a kid and feels cheated now that people find it "cool."
Gets a bit gloomier as well when, in the Wattle Gobbler DLC, Torgue will say that he will never forget how much fun he had playing Bunkers & Badasses with you and the Vault Hunters if you talk to him, and even mentions how excited he is that there will be new expansion packs released for the game, implying that he really wants to play again. His grandmother even says that the Vault Hunters were Torgue's first real friends, and that he related his time spent playing together as one of his most cherished memories. Considering that Lilith originally wanted to boot him out of the game, this can be pretty moving in hindsight.
It gets a bit Harsher in Hindsight when Torgue's Grandmother reveals he was teased a lot because of his mustache (which he had since he was 9), which meant that Lilith's accusation of him not being teased is unfounded. It gets a lot more harsh when you realize that the kids teased Torgue because of his outer appearance, which is the same reason Lilith is now trying to boot him out of the game (he's buff and rather dim, so she thinks he's a dumb jock, despite numerous hints in his DLC campaign that he genuinely loves games) and instead of calling her out on this, he went along with it just so she wouldn't seem like a bigot (he does, after all, consider being polite to women to be the most badass thing).
Chatting with the White Knight just to hear his dialogue can be horrible. If you played as Roland during Borderlands, or even just had a friend who played him, hearing him say "I'll never forget the adventures we had." is just yet another shiv to the heart. It's like he's addressing the player, figment of Tina's imagination or no.
The mission "Uncle Teddy" in a nutshell, as you get to learn about the sheer misfortune that TK, arguably the original game's most cheerful NPC, has had to go through. He gets his designs stolen by Hyperion and is forced to relocate to Pandora to escape assassination. There, he loses his wife, leg and sight all to the same skag. And finally, he gets left alone in Fyrestone after Zed leaves and is subsequently murdered and left hanging by his leg from a fan. To make matters worse, you have the option to betray his niece and sell the blueprints for his unique shotgun to Hyperion.
A rather subdued moment (which most players will probably be too angry to notice) is when you first arrive at The Fridge's entrance while heading to Sanctuary after Angel betrays you and Lilith teleports the city to the Highlands. Angel makes it abundantly clear that she feels terrible about betraying you, and when you turn in the mission in preparation to enter The Fridge, she quietly says "We're not friends anymore, are we?". In hindsight, given Angel's backstory and the fact that you were probably the first person she's ever considered to be a friend, this is quite a sad moment.
A moment that is somehow simultaneously hilarious and extremely depressing is in Mad Moxxi's Wedding Day Massacre DLC. As you prepare to storm the Zaford Distillery after kidnapping a baby to look for gold and booze so that you can make a Love Potion for Moxxi, you'll run into a JNK Loader named Ed who was enslaved to work as manual labour for the Zafords. Unfortunately, he's been locked out of the Distillery while his love, Stella, is still inside. With your help, he works up the confidence to smash open the gates and the two of you successfully rescue his robot darling. Seems like a Happily Ever After, right? Well, you later get a sidequest from the Innuendobot 5000, who insists that he needs a blonde wig as part of his Valentine's Day presents. Naturally, you go off to find one, only to find that it's Stella's blonde wig. No problem, you'll just ask if you can borrow it. Turns out, the blonde wig is wired into Stella's friend-or-foe identification system, and without it she'll probably die. Ed then comments that surely completing a sidequest isn't worth his girlfriend dying. Stella then pipes in to comment that while the mission will remain unfinished in your log, at least Stella and Ed will be happy together. You are then instructed by the Mission Log to steal the wig anyway. Upon doing so, you find out that Stella is actually an EXP Loader and will then blow up in an attempt to kill you, prompting Ed to attack you in grief-driven vengeance. You will most probably then have to kill Ed as well. In the end, to make matters worse, it turns out that the blonde wig was needed so that the Innuendobot could try pick up a Hodunk girl, who rejects him anyways. Moxxi, irritated by the Innuendobot, then has you destroy it. Meaning that in the end, Stella and Ed died for absolutely no reason.
It's pretty minor, but heartbreaking when you stop to think about it. Occasionally when leaving Crazy Earl's he'll yell "Skrappy? Skrappy?" and begin sobbing. It's sad enough the guy lost his pet skag, and likely his only friend, but it's even worse that the original four Vault Hunters are the ones who killed him.
If you've played the Pre-Sequel, having to kill Wilhelm and Nisha is like letting go of a loved one.
This is especially heartbreaking if you played as Nisha. She seems to have mellowed out quite a bit in the years between her time on Elpis and Pandora, and is actually polite and respectful towards you and Brick, which is a big change to her more Jerkass attitude in the Pre-Sequel. (Although she still is a sadist and has no problem killing puppies or torturing people for stupid reasons.)
If you've played Tales From The Borderlands, anytime you hear Scooter say "CATCH A RIDE!" can cause an unexpected burst of tears.