Dracula's depressing Motive Rant to Marie about why he has such hatred for God, forsaking his former identity as Gabriel to her face. Through it all, Dracula's voice is cracking the whole time, before finally breaking down.
This bit in particular:
Marie: I have been sent back to help you.
Dracula: You cannot help me! You're not here! You're not real!
The camera shows Dracula's face as he says this and you can see the tears threatening to spill forth.
Gabriel disrupted the balance of nature by killing Nomios, in the first game, who represented spring. His brother, Agreus, who embodies the autumn fall, ravages the world with famine and death and their exchange in the greenhouse forest is legitimately moving.
Agreus: My brother... The Great Pan, is dead! You killed him! Remember?!
Dracula: Your brother sacrificed himself, for a cause that he believed in.
Agreus: It wasn't his cause, but yours! And for what? To bring the world under your dominion? Tell me, Vampire. Do you think that is the will of God?
Dracula: Hear me well, Agreus. God — failed. And your brother was naive.
Poor Toy Maker, the first time in what could potentially be centuries when he's completely himself again, it's immediately followed by the memories of what he did while in Bernhard's/Dracula's service coming back to him. Given that the real him seems like he's as kind as a saint, seeing him break down and cry uncontrollably may make you want to give him a hug. Even Dracula, who very rarely shows mercy in this game, has a kind word for him:
Dracula: Goodbye, old man. Guard your heart well.
Victor Belmont, Dracula and Alucard's last mortal descendant; sacrificing himself to draw out Nergal and make it easy for Dracula to track him down and kill him. In the short time we are dealing with Victor, we get a sense of there being a big history to him as a character, and a lot of loss and sorrow, and to watch him die heroically and announcing to Dracula that "you are now the last Belmont" is a heavy punch to the gut.
Some of the diaries you can collect from various soldiers' corpses are pretty depressing; one diary comes from a soldier who was actually a woman in disguise, whose husband had joined the Brotherhood after dismissing them all his life, so she assumed that it was simply an excuse to leave her and joined the Brotherhood herself just so she could find him and tell him that she's found someone who's less insulting about her appearance.
You can also find a diary from the husband in question, revealing that he'd been duped into joining the Brotherhood, and his last words are regret for his insulting comments and a wish to return to her.