Yuka's Heroic Sacrifice in one of the Extra Ends. She confesses her love to Satoshi and begs him to tell her he loves her, even if it's a lie. She dies in her big brother's arms as Yoshiki and Ayumi curse their inability to do anything.
Yui's Heroic Sacrifice in the Good Ending. She manages to hold on to the ledge (despite her terrible injuries!) with Ayumi clinging to her legs. When Ayumi is pulled up, she demands that they hurry and run, and tells them to live. Yui-sensei is awesome.
We get to see the results of that sacrifice in the extra ending And it is pure heartbreak seeing Yui reminisce about happier days, cry out for her mother and father, and finally lament how cold and alone she feels as her life finally fades.
One Wrong End sees Satoshi crossing the Despair Event Horizon after discovering Yuka's body. This turns into Heroic Sacrifice as he gives Naomi his paper doll scrap — one that's rendered meaningless when Ayumi kills her for it.
Yuki Kanno (one of the murdered children) is a not a happy figure. She had a fight with her mother one morning and didn't want to go home after school. She ended up telling all of this to her teacher, Yoshikazu Yanagihori, who ended up kidnapping her on Sachiko's orders. This led to her being horrifically murdered. It's hard enough to imagine being a child going through that, but imagine what it was like for her mother, who didn't know that a little argument with her daughter would be the last time she spoke to her.
Seiko pulling Naomi out of darkening from beyond the grave, while mostly a moment of heartwarming, is still one of, if not the moment that'll bring on the tears, since the player learns this while Naomi and Satoshi are discussing the fact that not only will they never see Seiko again, nobody else in the entire world remembers that she even existed since she died in Heavenly Host.
The secret scene in chapter 4 where Naomi can say goodbye to Seiko in a dream. Seiko has a last request from Naomi, a kiss. It looks like Seiko is ready to die with no regrets if she gets her last request. Then she starts crying after finally getting a kiss from Naomi about how she's not ready to and doesn't want to die...
The Nightmare Fuel page for this series mentions the voice acting adds to the scary factor. The same also holds true for the Tear Jerker moments. The characters' voice acting make the scenes even more powerful , like Naomi's reaction to Seiko's death, Yoshiki's scream if Ayumi dies in a wrong ending and pretty much any time a character weeps.
Book of Shadows
Book of Shadows has a major one when Naomi discovers Seiko's corpse. Sachiko appears and taunts her, claiming that anyone who's died there before will die again and again, no matter what. And each death will be worse than the last, meaning that Naomi's attempt to save Seiko just means she suffered even more. This sends her into a major Heroic BSOD, screaming for someone to save her...
Chapter 1 might as well just be titled "You Will Cry." Before Seiko dying once again, there are two moments that you will cry from. One is when Naomi finds Seiko after running away, giving both you & Naomi the idea that Seiko can be saved, but after a short time Seiko confesses that she loves Naomi and Naomi freaks out and runs away crying, which triggers the Darkening and Seiko's death. Before that is a flashback that is nothing short of heart-wrenching as it shows that Naomi getting angry at, and then losing her closest friend is a pattern she's been going through since she was a little girl. In the flashback, which based on the dialogue makes it sound like it's outright forced on her to remember, it says how when she was little her parents left her alone a lot, so they got her a pet cat to have as a friend. They were both very close and Naomi loved it dearly. Then one day, she ran away with the cat as a way to get attention. She got lost and blamed her pet cat, yelling at it and saying how she hated it. When she was found all she could do was cry and apologize to her pet, regretting what she said. A week later the cat ran away and Naomi blamed herself, thinking that it hated her because she yelled at it. This entire flashback, combined with the constant meowing of the cute cat, will make even the toughest person cry.
In the final chapter, the sudden demise of Hinoe Shinozaki right as she's comforting her crying sister.
Even the opening cinematic is insanely heartbreaking. Presumably after the events of the True Ending of the first game, we see Naomi locked up in her room, having all but completely lost any shred of sanity she might have once had due to the increasingly painful realization that her best friend is gone forever, and no one remembers that she even existed. Even worse, her mother is becoming more and more worried about her, and desperately tries to help her to no avail. Needless to say, it's a fairly strong indication that this game isn't going to be any better than the first.
Everything about Naho once you see just how much of a sweet girl she was when living. Appearing as The Quiet One to any other people other than Sayaka, her best friend, to whom she reveals her true self of a cheerful girl who enjoys life at every second and is prone to make cat noises complete with gestures whenever Sayaka piques her interest. Compare that Naho with the Naho encountered in Heavenly Host, and everything about "Purgatory" becomes Harsher in Hindsight.
The Yui-centric chapter will make you cry. Yui nearly dies by Yoshie and is saved by Tsukasa, left wondering if it was All Just a Dream, and then is seen enjoying a sunrise with Tsukasa, AKA the boyfriend she mentioned to Ayumi in an extra chapter in Blood Covered, while holding hands with him. It becomes shattering when she dies, as it means no one will ever remember she existed. Not even Tsukasa who showed to care deeply about her.
In the D-1 Bad Ending, where Yuka and Ayumi died, Satoshi finds Yoshiki in a drunken stupor wielding a knife and has to talk him out of taking his own life.
In any ending where poor Yuka dies, before the survivors leave, they get one last chance to see their spirit. They try to tell you something, but can't speak at all. All she's able to do is cry, as Satoshi notes that even death didn't change that about her.