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Tear Jerker: Friendship is Witchcraft
The end of Pinkie's Brew, to some.
"Someday I'm gonna go home... *sigh*"
Raincloud's suicidal rescue of the Mane 6 at the end of Cherry Bomb is heartbreaking, especially for a series like this. Made worse by the fact that everypony treated her like garbage and didn't give two horseapples when she died.
Made doubly worse by the fact that Pones made the very intentional choice to use the music clip that plays when the Iron Giant makes his own Heroic Sacrifice.
Triply when you learn Raincloud was the leader of the town's Rescue Squad. Now that she's gone, her beloved people have no defense against all the mayhem caused by the mane 6.
Sweetiebot's 'If you don't love then you're going to fear me' speech.
The fate of Cadence in 'Foaly Matripony'. Francis (her fiance) decides to marry Twilight, who keeps her trapped in a cave. During the credits, CADENCE DIES.
The dark implication that Francis was a victim as well: Twilight may have brainwashed him into loving her and becoming one-dimensional with no higher brain function that a surfer dude.
Francis: ...and yet I don't feel anything!
Twilight: And you never will, ever again...
The way Spike is treated by the Mane Six, especially Twilight. It is also likely that when he grows up he'll be caged and have stuff thrown at him.
The fact that Rarity apparently designed a sweater that was specifically invented to give her hugs. The war must have really messed her up.