Even Phillips is trying not to cry, which somehow makes it sadder.
How heartbroken Peggy sounds when she repeatedly says "Steve?" after the radio cuts off. When she cries, you want to cry with her.
Howard Stark's reaction upon finding the Cosmic Cube: "Just keep looking."
Double that if you remember what Nick Fury said about Howard in Iron Man 2. Howard later went on to become a founding member of SHIELD. That's right. Howard helped found a group that was undoubtedly named in Captain America's honor.
In a strange way, the kiss scene between the secretary and Steve is incredibly sad, because not only is it made clear that Steve is pretty uncomfortable with what's going on, but also that the woman's not really interested in him at all. She doesn't care about the giant sweetheart of a man we've all been falling in love with for the past hour, she's interested in his looks and in Captain America, and when you add in the fact that it was probably his first kiss, it becomes even worse.
Dr. Erskine getting shot and dying in Steve's arms. He's not able to talk in his final breaths, but points to Steve's heart to remind him that even with his new strength he must always stay true to who he really is. "A good man."
After Cap crashes the plane & is presumed dead, the film cuts to people celebrating the end of the war... and then we see the remnants of the Howling Commandos, somberly raising a glass to their fallen friend whilst everyone around them is celebrating.
Made worse when you consider that thousands and thousands scenes like that happened at the end of the real life war, as men toasted their fallen brothers.
The above is followed by a scene of the SSR closing up shop, as we see Peggy tearfully looking at Captain America's file, then opening it to reveal that she's looking at a picture of pre-Super-Soldier Serum Steve. That, coupled with the sombre music playing in the background never fails to make the tears flow.
Erskine: People forget that the first country the Nazis invaded was their own.
This troper's veteran father always tears up during "The Star Spangled Man" due to the sheer loving patriotism of the song.
There's a bit when Steve and Bucky are on a double date and Steve offers his date a bag of peanuts, only to get glared at in return. It's brief, but it gives you an idea of how marginalized Steve has felt for most of his life.
When Bucky is rescued by Steve he can be heard deliriously muttering the same thing under his breath over and over again. What is he muttering? His name, rank, and serial number, one of the few things captive soldiers are allowed to tell their captors. If the room he was in didn't convince you he was being tortured (or being experimented on in preparation of being transformed into the Winter Soldier) then that should do the trick.
Tear Jerker by way of Freeze-Frame Bonus and Fridge Horror: Steve's birthday was July 4, 1918. He says his father died in a mustard gas attack while serving in the 107th Infantry. Steve's father likely was killed in the trenches in World War I. Given the timing of the US entry into the war (April 1917) and the Armistice (November 1918), it's more than likely that Steve's father never met his son, and in fact had already been killed before Steve was even born.
One so easy to miss that this troper didn't catch it until 3 years after the movie's release. When Steve is watching the wartime newsreel, there's a line that says something like "for our troops, the price of freedom is never too high." This is said as an unnervingly still soldier is being carried off on a stretcher. THEN it cuts to a teary-eyed female patron sitting next to an empty seat, leading one to think someone she loved has possibly met his end in the war already. Gives Steve asking the rude loudmouth to show some respect a new weight, doesn't it?