Spun around and at least doubled if you've played Final Fantasy XIII-2. That wedding never happens, Serah is dead, and Fang & Vanille are not rescued from the crystal. And Lightning's message of congrats is nothing more than a bitter memory for Serah.
Fang & Vanille are saved when the pillar falls, so there is a tiny bit of hope that someday, they may be free.
Lightning throughout the first half of Chapter 7, especially when she realizes WHY she's been so angry and you see that underneath her stoic exterior, she's Not So Stoic. Her speech about her changing her name to Lightning comes to mind, especially after the flashback to Day 12.
Lightning: Lightning. It flashes bright...then fades away. It can't protect, it only destroys.
The climax of Chapter 8. After Dajh has turned to crystal and Jihl has revealed that Vanille is the reason he became a l'Cie in the first place, Sazh confronts Vanille who begs him to shoot her because she deserves it after what she's done. Sazh is torn between wanting to take revenge for his son and killing the cheerful girl that he's grown fond of.
Right before this as well, when Sazh decides he's going to turn himself into the government, knowing full well he'll be executed. The whole reason he wants to do this is so he can see his son one last time, to tell him about the Chocobos before he's killed.
Many of the Cie'th stones have a tragic story to them, ranging from how they know that they're doomed to failure, how much they're looking forward to succeeding and going home to their loved ones, how they're charged with killing loved ones who turned into Cie'th, or even how the Fal'Cie have given multiple l'Cie the same focus and are forcing them to compete against each other.
Not to mention Cie'th Stone 33: A Parent's Pledge. You're charged with killing a lost, lonely Adamanchelid desperately searching for its parents. Even the mission description has the l'Cie originally tasked with killing it refusing to do it, preferring to turn to a Cie'th than kill a lost child for the fal'Cie.
Getting to Oerba. Granted, you kind of knew what to expect, but actually finding it that way is quite an emotional punch. Especially with thisOne-Woman Wail. The song doesn't stop even when you enter combat, similar to the Zanarkand soundtrack in Final Fantasy X, adding even more to its emotional significance.
Seeing Fang lose it for the first time when she looks at the ruins of her home whilst running through the beautiful snow covered mountains of Oerba is rather solemn.
Lightning Returns: Final Fantasy XIII Spoilers:
Hope seeing his deceased parents, Nora and Bartholomew, watching over him.
Lightning's reaction when Serah is turned to crystal - she sounds like she's on the verge of completely breaking down and just gives up, even sucker punching Snow for his stubborn refusal to accept that Serah is gone. If it weren't for the events that followed, who knows how far over the Despair Event Horizon she'd have gone.