Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Tear Jerker: Cracked (series)
Mandar Kush breaking down and insisting that he, and not the man he killed while in the midst of a psychotic break, should have died. It's the completely matter-of-fact way that Kush says it that drives home just how much this man hates himself, and how sincerely he believes that he should be the one who is dead.
The PTSD subplot in "Old Soldiers", particularly Jessie's speech/rant to his friend who is trying to commit Suicide by Cop. "You're going to give me another reason I can't close my eyes at night?"
The shooting in "Voices" may well qualify. After watching "The Tennants" we've gotten to know many of the people in this building, and now the two shooters are putting them all at risk solely in the name of becoming famous. We spend the episode not only worrying about Aiden and Clara, but also about everybody else in the building.