The pilot episode. Poor, poor Max. Particularly the scene where he and Jammet are talking in the helicopter and Max starts crying. To clarify, Max lost his loving family to exterminators.
Felix's death in A Rat To Bear Arms.
In the episode A Little Romance, Max saves a girl mouse from a cat by knocking the cat out with a stage light. He thinks he killed a cat and when congratulated by the girl's parents, he breaks down in Tears of Remorse, explaining that he didn't want to kill the cat. Considering the fact that he watched his own family get gassed to death in the first episode, he becomes an even bigger Woobie in this one. Then there's the end of the episode where Max bids Miko a tearful goodbye and Trixie tells Max that the only reason he wants to go to Japan with Miko is so he can feel like he's part of a family again. Max then goes on to describe that some nights, he misses his parents so much he can't go to sleep.
The episode Opie's Choice where Max is nearly murdered by drug dealers who force pills down his throat, causing the poor little mouse to go unconcious. From the same episode, there's the scene with the sad squirrel family who are upset over Opie's drug addiction. Very realistic stuff for a cartoon.
Muggle's Disney Death in The Lady Doth Protest Munch and Max's tearful reaction to it. Heck, pretty much anytime Max cries.
The end of If Loving You Is Wrong, which shoves Jammet straight into Jerkass Woobie territory.