The cutscene of Ophelia throwing herself into the Sea of Black Tears.
The way the scene played out, it was essentially a suicide, with Ophelia throwing herself into the sea out of despair, only to be suddenly struck by the gravity of her decision, and her anguish giving way to pure terror. It is one of the bitterest moments in this game.
Drowned Ophelia's poem.
Eddie's dream about lying in the grass and sharing a tender moment with Ophelia, followed by a Crowning Moment of Funny of them holding hands and frolicking together while slaughtering demons.
After defeating Doviculus, Eddie diving into the Sea of Black Tears to get the real Ophelia back, giving his mother's necklace he previously gave her back to her once her discovers her body, and swimming back up with her body only to be pulled down himself—that is, until the real Ophelia pulls him back up by his tags and they share the same kiss Eddie had in his dream. The fact that there were no words exchanged between them (or needed to be, for that matter) makes it all the more of a powerful Tear Jerker.
The post-game meeting with Lita, where you mourn over Lars' grave with her in silence.
Lars' death is also quite sad too. Especially how Lita said that she'd never cry over anything, and then she starts crying when she sees that The Kill Master can't bring him back.