'What Would You Do?', particularly as Fraulein Schneider is likely - and unfortunately - right about everything she says.
The reprise of 'Married.'
Let's face it, the entire Fraulein Scheinder and Herr Schutlz relationship is the saddest part of the show.
The worst part is that it really looks like he'll convince her about giving the marriage a chance... and then the brick flies through the window.
'I Don't Care Much.'
The title song. Natasha Richardson's tragic death does not help.
This troper agrees with all of the above and would like to add her personal experience from seeing the play in London in 2008. The ending of the play can be changed in each production (for example, in the 1998 Sam Mendes version, the MC takes off his cabaret costume to reveal a concentration camp uniform, with a yellow star denoting he is a Jew and a pink triangle denoting he is gay). In the production she saw, the MC sings the last reprise of "Willkommen" as the men and women of the Kit Kat Klub slowly file out behind him, naked. When the MC says his last line, he takes off his robe, beneath which he is completely naked, and joins his coworkers at the back of the stage. They huddle together as the sounds of a gas chamber play. This troper was absolutely bawling.
This troper saw a version where the MC was joined by the rest of the cast who were sporting torn costumes and well rendered bruises. At the end the entire cast, minus a couple of the Nazis, were herded into a portion of the backdrop which opened and the sounds of a fright train were played. The look of sheer terror on their faces, plus Sally's attempt to sing the title song in the most heartrending effort to convince herself she's going to be alright, makes her cry just thinking about it.
Switch the freight train with the Auchwitz "Arbeit macht frei" gate, and that was pretty much the production I saw. Devastating.
The version I saw had a less horrible but still chilling end where Sally tried to sing a desperate reprise of Cabaret as the lights slowly shut off one by one, and then all the characters who remained in Germany appeared on the stage either sporting Nazi armbands, stars, or triangles, with half the Cabaret dancers being Jewish, the other half gay, and the Emcee with a purple triangle for gypsy.
This Troper's school production featured two of the Cabaret boys singing the original "Tomorrow Belongs to Me," with Nazis slowly marching in towards them. The fact that they were played by an actual gay couple didn't help even a little bit.
This troper's school production featured a large jungle gym like cage that the Kit Kat girls and boys would lounge on in between scenes. At the dark reprise of Wilkomen the Kit Kat girls and Herr Schultz are all herded into the cage. The Emcee ripped off his coat to reveal a concentration camp uniform and star of David as gas suddenly poured from the pipes of the cage. Cue tears and gasps and stunned silence.
The introduction of the title song works, too. The Emcee sounds so broken when he tries to give a boisterous introduction to Sally. He also looks seedier; in some versions he has visible track marks on his own.
During some versions of the title song, Sally puts a noticeable pause between "The day she died" and "the neighbors came to snicker." There's two possible interpretations for that pause both of which are depressing: If the song is just a metaphor for what Sally's going through, then it could be the moment she realizes what fate her hard-core partying lifestyle will lead her to. If the song is something that actually happened to Sally, then she's reliving her friend Elsie's death and how she overheard people making fun of her on the day she died.