In Fire Emblem 8, the death of Joshua's mother, Queen Ismaire. Also, Lyon's conversations with Ephraim's are even more heartwretching than the ones he has with Eirika. The trick is how different the twins' reactions to Lyon are; Eirika has always been emotional and that's okay, but seeing the calm and collected Ephraim LOSE it when he faces Lyon...
"C'mon, Ephraim. Smile for me, like you always do..."
Knoll and Duessel's A support conversation: "We are dead men who strayed too far from our graves." Knoll himself is a magnet for tragedy, especially his ending. He doesn't even stay to enjoy Grado being back to normal and if you go by the aforementioned support, it's possible he's dead.
Actually his ending and supports with Natasha implies that he stayed and helped restore Grado, and eventually left his homeland, likely out of guilt for being one of the assistants of Lyon who unintentionally assisted his prince in causing a war and resurrecting the Demon King, which is also quite depressing.
The very last piece of dialogue in the game, a post-credits picture of Lyon meeting Eirika and Ephraim for the first time. The text box only gives Lyon's speech, and it rends you the core after the ending you've just been through:
Lyon: Oh, are you... I'm... My name is Lyon. Uh-huh. That's me...The son of the emperor. You're Prince Ephraim and Princess Eirika from Renais, aren't you? I heard you were coming, and I've been waiting here all day. I've always wanted... I don't have any friends my own age... So, Prince Ephraim... Princess Eirika... What do you say? From now on, let's be friends...
Fire Emblem 4: It was bad enough being blindsided halfway through the game when Ethlyn and Quan are killed and their daughter Altena taken captive, but that very same chapter ends with your ally Arvis betraying you and murdering nearly every available playable character, including the main character Sigurd.
Ironically, Arvis himself becomes tearjerker material in the second half. He's lost the woman he loved, his son's been turned evil, his empire and all his plans were ruined by Manfroy, Azel's long dead by this point...all that's left for him is death.
And for some extra "fun", read the manga. For starters, there's the entire subplot about Eldigan and Raquesis, especially her total emotional breakdown after he died... In general, that thing is excellent at capturing the characters' emotions and personalities and all, which makes the entire thing extra depressing if you see something good happen to them for once, while knowing of the great plot twist of Chapter 5. This creates a constant air of uncomfortable dread.
Seliph's conversation with the ghost of his parents after killing Arvis, especially with the remixed version of Sigurd's theme.
The death of General Shiharam, Jill's Father: not so much during the actual event, but the conversation with Haar and the surviving troops afterwards.
Haar: One, two, three...five in all. We're lucky to have that many.
Soldier: Captain Haar...what are we supposed to do now? General Shiharam is dead, and our homes are gone. What are we to do with our families?
Haar: What do you want to do? We've lost any right we had to stay here. So that leaves Begnion or Crimea...
Soldier: General Shiharam was slain by Crimea...joining with them now is not...it's not possible.
Haar: Then all you can do is return to Begnion. I doubt you'll get a hero's welcome but...I've an old friend in the pegasus knights. Shall I contact her?
Soldier: Sniff...Ah, gods. Eighteen long years...what does any of it mean now?
Haar: Don't say that! No matter what, I'm proud to have served under General Shiharam.
Soldier: You're right...it was an honor...
And if you got Jill alive, the subsequent base conversation also punches you in a gut, quite. Ike and Jill met a Daein refugee who's just glad that Shiraham's daughter is alive... and proceeds to give an 'encouraging' rant how much Jill is going to drive away the 'Crimean monsters' with her 'bodyguard' Ike. Both Ike and Jill couldn't bear to deliver the news that they're fighting for Crimea and left the refugee in the dark about the truth, unable to save them from the illusion that Daein under Ashnard is just hell.
At the end, when Ena is finally reunited with her boyfriend Rajaion, who has been driven insane and is about to die because of the Feral drug. Then the Heron Laguz sing the Galdr of Rebirth, which restores his sanity and turns him back into a normal Laguz... but he still dies a few minutes later.
At least he got to die in the arms of the one he loved. And Ena's also pregnant with his child. Also, let's not forget...
Ike watched Greil kill Elena when he took the medallion. Making it even worse when he also watched Greil die before his eyes as well.
Rolf: "I... wonder what will happen to me... I'm so scared... Boyd... Broth—"
Soren's past in FE9 and 10, especially when Soren and Ike can have a conversation in the last battle in RD, when Soren just lets it all out and cries in Ike's arms, probably because it was so unusual for Soren to do that.
Japanese script. Geoffrey and Elincia's discussion on the walls, and the following discussion that Elincia has with Ludveck, especially her last comment before she walks out and willingly leaves Lucia to her fate.
Elincia:Thank you for letting me see my own weaknesses. To have allowed your ambitions and your rebelliousness to carry out for this long...it was my weakness. To have Crimea, now, in such a broken state, these sins are all mine. I'll bear that sin forevermore, as I dedicate my life to Crimea. I am queen, after all. I will live...for Lucia...
When Soren is finally reunited with his mother. And he doesn't even recognize her, even though she recognizes him...
Hell, this editor gets depressed when he gets forced to kill bosses that were either likable characters or anti villains. Examples: Linus in FE7, Celina in FE8, and worst of all, Shiharam in FE9 (Jill's sadness at the end and the fact that he never wanted any part in the flooding only made it even worse). This editor was always thinking: "Goddamn it IS.....why are you making me do this......WHY ARE YOU MAKING ME DO THIS?
Being forced to kill Lloyd was bad as well.
There is also the special death conversation with Bryce if you kill him with Ike. It just makes you even sadder when he dies.
Ike: Farewell, Knight.
Zelgius' death in Radiant Dawn. "Now the other person is truly...alone." Then there was also Pelleas' death at your hand, especially when you learn minutes later that it was all in vain.
The death of Sephiran in FE10. He welcomes death with open arms. And if you have Sanaki Talk to him during the battle...Oh boy. Heck, every boss after Rebirth (1). Lekain was a pleasure to kill, albeit the other guy (Hetzel) didn't really deserve it.
If you pair him with Sylvia and then get him to talk to Leen, the results are also pretty sad. Leen will tell him about herself and her lonely years at the Darna orphanage, and how she wonders what she did to deserve abandonment. Lewyn will try to cheer her up by saying her parents had good reasons to leave her there but they'll come back to her some day... then Leen mentions that she's often felt watched over by someone else, and she wants to know who and where her Mysterious Protector is. And Lewyn can't tell her that he is her dad, maybe because after being revived/possessed by Forseti, he can't remember everything clearly...
Leif and Seliph's conversation in chapter 7 of Seisen no Keifu.
Seliph:Prince Leif, I can't begin to express my sorrows to you.
Happy tears at the Rebirth scene of Path of Radiance. After that battle, you deserve this. As if the scene and the music weren't enough...
And in the second part, when Altenna thanks Fin for raising her brother Leaf and then mentions how she vaguely remembers playing and spending time with him before things went downhill... and Fin starts crying.
A bit of FridgeBrilliance - and Fridge Sadness, if it existed: 99% of the death quotes are extremely sad. Intelligent Systems likes to give the goofier, funnier characters the sadder quotes. Probably the best example in Radiant Dawn is Kieran; you can tell by looking at him he's a very silly guy. But his death quote for Chapter 3 in Part 2?
Kieran: General... Forgive me! I should have... trained harder... —> Geoffrey: Kieran... No! I'm coming to help you! Hold tight! Kieran!!
There's also Sain from FE7: "Lady Lyndis... I was so happy..."
And following the trend, have these from FE8. All of these charas are among the funnier, more-stable, cheerier ones in the game, and then...
Forde: "Ah, Prince Ephraim... It... It was fun while it lasted."
Colm: To think of it... Me... In this place... Neimi...
Lex's death quote in FE4. You'd think a big tough guy like him would be going on about how a little wound's not gonna take him down, but instead?
"I'm such a weakling...Sir Sigurd, please allow me to die in peace..."
Hey, it's not like the Akaneian saga is all happy place with happy things either. This is capitalized mostly on Book 2 about Hardin. His life at Book 2 is just a massive Tear Jerker. We see his downward spiral from a just and honorable knight, who would've been Marth's greatest ally, but because of unrequited love for Nyna (who is another walking tearjerker, considering how painful her own life was as well) and Gharnef's tinkering, becomes a Fallen Hero and tyrant to his otherwise just Empire. And when you killed him, he got back to his senses, apologized for being too weak to resist Gharnef's influence... and died while asking Marth to take care of Nyna and asked for her forgiveness for what he did to her when Brainwashed and Crazy. Poor Hardin.
A rather subtle one from the eighth game: if you watch the portrait sprite of the character during their death quote, the character actually closes their eyes after the quote finishes (except for people who just retreat).
The twelfth game gives us anything and everything to do with Katarina. Though what mostly stands out would be her death quote in 16x.