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The entire Pacos Amethyst and Rubrite boss fight. You hear Yeul's warnings, an alternative form of Yeul's Theme plays the whole time, the Pacoses are only fighting you to protect Etro, and if you kill one of the two, the live one risks its turn reviving the other.
The message left by Serah in New Bodhum, which is strongly implied to be her reflection on the events of the story after her death.
The normal ending has the above mentioned death of Serah, which, though expected, happens too suddenly. All her visions of the future were involuntary and they killed her. All her promises are now made hollow and she's the main character! What's worse is that Noel asked her twice if she was okay, as they both knew she would die from her visions. Both her responses were reassuring to Noel and the player. Seeing Hope come and find her dead makes it worse.
This is bad enough, if possibly lessened in sad-impact at first by the pure unexpected nature of it. Regardless, the ending of Lightning's DLC really nails it down, whereas we see her reaction to it: first unbelieving horror, then uncontrollable weeping as it finally sinks in there's nothing she can do. This is then followed by Serah's spirit reassuring Lightning it will be okay, between pleading not to forget her. Lightning proceeds to essentially sacrifice herself in order to preserve Serah's memory - setting up the threequel - amidst a monologue delivered in a breaking voice but expressionless face.
When you reflect back on Lightning's journey and include her story in Duodecim, the tragedy just hits a point because she has basically become a pawn for the gods, and welcomes it. She goes from the woman who defies pre-destined fate to a woman pulling all stops to adhere to the whims of a goddess, even if it means transcending humanity and destroying every chance she has of becoming an ordinary human being again.
Having to watch Snow disappear. Serah tries to hold onto him and yells that she can't keep losing him, and then finds out that he is a l'Cie again.
Noel's farewell to Caius after he dies is surprisingly touching, all things considered.
When Yeul dies in Yaschas Massif 1X AF and Caius can only watch. His asking how many times he has to watch her die is just heartbreaking.
The death of Yeul in Noel's own timeline. It was her fifteenth birthday and Noel had planned to celebrate it with her and Caius, the last people left on Gran Pulse. Instead, Caius leaves for good and shortly afterward Yeul dies in Noel's arms after getting her last vision. Yeul says that she knew it was coming and thought she was ready. As she lays dying she realizes that she wasn't ready after all and really wanted to spent more time with Noel. The fact that she is peacefully smiling anyway makes the whole scene that much harder to watch.
The follow-up makes it even worse as Noel is completely alone now; the girl he cared so much about died and his mentor abandoned him. He wanders the desolate wasteland of Gran Pulse alone and when he's about to get sucked into the Historia Crux, battered and broken, he thinks he's dying...and part of him welcomes it. And when Serah dies, he's gone and lost everything again. The first person he makes an emotional connection with after everything that happened with Yeul and Caius and she goes and dies too. Poor guy just can't catch a break.
Paradox Ending 8: A Giant Mistake is a Bolivian Army Ending. Serah and Noel are last seen charging one of the many giants to save the future and then their weapons are seen on a giant's head. This implies they died in the struggle.
Just a small one: if you look around the graveyard in Bresha Ruins 300 AF, one of the graves has a tattered soft toy beside it. That'll be a child's grave - some cemeteries in Real Life allow mourners to leave mementoes by graves, and children often get toys. May also count as a moment of Adult Fear for gamers with children.
Alyssa Zaidelle's entire existence or lack thereof.