The long opening sequence of Evita ("Requiem for Evita"). I've seen it onstage in two different productions, and also the film version (which just makes it worse by intercutting it with a flashback to the funeral of Eva's father), and never failed to weep a bit. Particularly impressive since Eva/Evita can be seen as almost a Villain Protagonist - it just wasn't that way to the people who loved her.
The entire last quarter of the show, for this troper. Combination sad music + sad lyrics + basically her dying.
"Eva's Last Broadcast" is what does it for me.
The film version of "You Must Love Me" is another heart-wrecher especially as we see how her relationship with Peron has evolved. He honestly loves her for her and not what she could do for his career, and she feels the same way.
Somehow made worse by the fact that we really know nothing about her, just that time and time again, she gets kicked out and is forced to wander until she finds someplace else to settle for what she knows perfectly well will only be a short time. Is there anyone that really cares about her?
"This talk of death is chilling! Of course, you're not going to die..." Denial sets in for a moment for Peron. Even worse is that in Real Life, his previous wife died the exact same way, right down to the form of cancer. No wonder he went in denial, he must have seen his first wife all over again.