Probably not the saddest thing to happen in the series, but pretty much all of episode 10 is one. Nico the flowergirl is one of the nicest, kindest and generally happiest characters in the entire series, managing to match Ringo smile for smile. She's also completely insane. And then she dies.
The reaction of Bolton is the real emotional knife in the gut since her kindness had been bringing him out of his angry shell, only for his leg injuries to keep him from protecting her. And to drive the knife further, the episode ended with Bolton delivering a painful Death Wail.
Episode 13, "The Past Rises Before My Eyes". Even before Casshern's encounter with Braiking Boss or the revelations that came with it, the scene before the OP ("it's not your fault Casshern") lets you know that there's going to be some kind of heavy hitter.
A lot of the later episodes fall into this category... but oh, God, the final episode, and the deaths of Lyuze and Ohji.