It seems to be the same for Vergil, which makes it even worse. Depending on whether you consider the manga canon, it gets very, very worse... and never really gets better.
While the Griffon boss in the first game was a pain in the ass and a demon, there is just something tragic about his death. After being gravely wounded by Dante, he begs Mundus to help him, to give him just one last chance to prove his worth and destroy Dante. Mundus cruelly denies him this, shortly before zapping him to cinders while begging Mundus not to. If you did not think Mundus was an utter bastard before, you will now. Dante certainly did. Mundus also had the audacity the laugh evilly after coldly killing Griffon.
Devil May Cry 2
Lucia in DMC2 trying to get Dante to kill her.
Devil May Cry 3
The ending of Devil May Cry 3. First there's the part where Vergil tells Dante to return to the human world and takes a very deliberate, implicitly suicidal fall off the edge of the cliffs where they fought. Knowing his REAL fate actually makes it worse in a way. But the icing is when Dante cries for his brother — and, being Dante, says that it's "only the rain." *sniffle*
"Might controls everything. Without strength, you can't protect anything." This line just oozes past guilt from Vergil about not being able to protect someone he loved. The person in question is likely either his and Dante's mother or, if you buy into the semi-confirmation that Nero is his son, his lover/Nero's mother.
Given the way he crushes Dante's half of their mother's amulet against his forehead, and the brief but absolutely stricken look on his face...
Dante's final words in DMC3 also count as this. After a really long, downright horrible day where his home has been destroyed, he's been battered around, and just had to watch his brother choose suicide over being redeemed, he doesn't even get a break, being attacked as soon as he's out of the tower. His Badass Boast sounds more like he's trying to convince himself that he's okay and ready to take on the world.
Dante: "Well, bring it on! I love this! This is what I live for! I'm absolutely crazy about it!"
Credo's death in DMC4. Him begging Dante to save his sister and Nero as he bleeds to death after being stabbed by Sanctus is the icing on that particular cupcake.
Nero's complete breakdown when Kyrie is kidnapped to the point he creates a crater just from punching the ground with his Devil Bringer and ends up in a huge Heroic Safe Mode that Dante has to snap him out of.
In a sort of heartwarming way, Nero asking Kyrie at the end if she would still want to be with him if he's not human. Despite all his amazing accomplishments and the lives he saved, Nero is afraid only of losing her. But she wants to be, because no one is as human as he is.
The Animated Series
In the final episodes Dante is trapped in the Demon World, pinned to a crucifix, unconscious and slowly bleeding out. Patty manages to find him and she throws her arms around him, crying and pleading for him to wake up and save the day from the demons, just as he's always done. The sheer sadness and fear of losing him as she tries to get through to him is heartbreaking.