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Tear Jerker: Diablo III
The death of Deckard Cain at the hands of Maghda. And then the funeral scene.
Stay just a little while longer Cain... I'll listen...
And then there's Leah's own death as her mother Adria uses her as the vessel for Diablo's resurrection in one of the most horrible betrayals of the entire franchise. Especially sad if you've gone through all her conversations and know about her dream of running an inn of her own someday...
Imps are explicitly stated to be demon children and that when hungry their own parents may attempt to eat them and that the reason they travel in packs is for protection. Most of the time they barely even fight you. They even use the same animations and potentially model (save for different textures) as the children in Caldeum.
Mira's final letter to Haedrig after you help him kill her.
There is a kid in Caldeum that runs around playing with his pet bunny. Then a guard kills the bunny.
One of the refugees of Bastion's Keep is a little boy who ends up losing both his parents during the course of Act III. Your final conversation with him in Act III has the poor kid wishing that he was strong enough to protect them. Your protagonist then tells him to use this to become a man strong enough to protect those he loves.
The aftermath of Diablo's resurrection in Bastion's Keep. Nearly every single NPC save for the merchants and your party is either dead or in despair, including the sweet woman and her soldier husband.
"If you are reading this, my husband and I are both gone. We would like to be buried side by side, preferably in a sunny spot. Oh, and please don't bury my husband's sword with us. He won't need it anymore."
The old fat mayor of New Tristram gets one too. After Diablo rises again, you find his corpse with a guard looking over him who comments that he never ran even though he could have. After being yelled at by you and the villagers for fleeing from New Tristram and being called a coward for all of the game, it's a very emotional moment when you realize you finally got through to him when it counted the most.
Before that, after you've have chewed him out several times, he still hasn't left yet, and he says he's not a coward; he just wants to live. There's something about the tone in his voice that strikes a chord.
The young couple inside Bastion's Keep. One of them is a soldier who, in the beginning of the Act, begged his wife to leave the place and get to safety. She would have none of it. As the battle starts to turn in favor of Bastion's Keep, they talk about starting a family and the like. They're overjoyed when Azmodan is finally defeated. Then he dies during Adria's betrayal. She stays behind in complete shock, always having believed that they would die together. And she bitterly asks that if someone had to die, why it could not have been her instead.
Kormac's despair upon discovering the Awful Truth of his order, and subsequently his remorse over killing Jondar, wondering if he could have saved him instead.
Gets even worse in Reaper of Souls, where he realizes that his previous desire to reform his Order is hopeless due to its corruption going all the way up to the Grand Maestor, and sees no other choice but to kill the man who essentially raised and mentored him to prevent him from hurting anyone else like he did Kormac and Jondar.
An event in Reaper of Souls, where the spirit of a woman appeals to you to put her husband's soul to rest. Much like in Act 1 you get a small speech where their restless spirits have been placated, and are ready to move on...until a Death Maiden appears, and turns them into Revenants, and takes center stage to fight you. It just serves to show how dire the situation is, that not even the dead are safe.
In Reaper of Souls, each of your followers gets a sidequest that you can go on at certain points through Act V, where you help them settle an issue they had before joining you. While Kormac's particular quest (The Templar Reckoning) is made of awesome, the other two are sad as hell.
Bound By Blood, Lyndon's quest, has you trying to bust Edlin, his ex-guardsman brother who he's been trying to help set free, out of the prison he's been moved to in Westmarch, only to find that the Thieves' Guild that Lyndon was involved in, which has been causing trouble elsewhere in Westmarch, have taken the place over. You and Lyndon (and any other follower if they're following you) kill your way through practically the entire Thieves' Guild in a furious bid to save Edlin, only to find that it's too late for him. While Lyndon originally believes that the Thieves' Guild killed him, the killer actually turns out to be Rea, the woman who married Edlin and who Lyndon has always carried a torch for.
A Sister's Voice, Eirena's quest which has you accompanying her into the realm of Pandemonium in search of one of her sisters, whose voice has been haunting her. During the quest, you come across the spirits of three of the sisters, whom it is learned have sacrificed themselves in order to allow Eirena to awaken in the Nephalem's era. When Eirena and the Nephalem finally find the source of the mysterious voice, the other sister named Lysa, it is learned that Lysa considered herself equal to, if not more powerful than Eirena, and did not want to sacrifice herself, instead finding a way into Pandemonium to escape the fate of her sisters. She has gone evil, and you and Eirena have to kill her. Then the Prophet shows up, providing poor Eirena with some much-needed closure and reassurance that what her sisters did was the right thing.
Covetous Shen's final farewell to Liria, the woman he's come to love during his sidequest. Hearing him have to deliver his That Man Is Dead speech regarding Zei, his past self, and send her off on her final journey is both heartwarming and heart-breaking.
During the final quest before the showdown with Malthael, you have to gain the power of Death in order to battle the Angel of Death on equal footing by destroying the Soul Prison. Who sends you on this quest is dependent on your class. For most of the classes, it is the mentor who first started them on their journey. But for the Demon Hunter, this person is none other than Halissa, the little sister whose loss first started them on the path of vengeance. All of the Demon Hunter's conversations with her get sad, especially the one where the two talk about their final night together and we see the more emotional side of our grim avenger.
Over the course of Act V, you can talk to a worried mother who desperately wants to make sure her son, who is in another city, is safe. She ultimately leaves Westmarch to find him, only to turn up again some time later; the caravan she was traveling with was butchered by brigands and she barely made it out alive by fleeing into the woods and hiding there for days. When you talk to her again, she sounds more broken and desperate than ever. Not making it better is that she suddenly disappears afterwards, and you don't get to find out what happened to her or her son.
Another mother appears midway through Act V, calling for her children, who apparently are playing somewhere else. Her carefree demeanor sounds out of place from the beginning and when her children aren't coming back, you get the feeling there might be something very wrong. The whole thing ends with the woman asking the protagonist to pass along a message to her children should they see them. The protagonist simply agrees. It's never spelled out, but it doesn't take a lot of imagination to see what's going on...