The Count's duel with Franz as a whole, really. Hearing the poor fellow scream in agony, and Mercedes sobbing and begging, while the Count just won't stop. Even worse if you know that it's actually Franz in there. Even worse still if you know that he's not going to make it.
As a matter of fact, Edmond's past and the last two episodes, especially when Haydee attempts to stop the Count, when Albert hugs him, and when he dies.
This Troper was particularly affected by the glowy flashback scene showing Edmond, Mercedes, and Fernand during their younger years, with Mercedes' hat flying off and the two of them going after it. Just the whole way that Mercedes acted like a cute Tsundere, and the playful and innocent way that they got along made for a rather depressing contrast to what you know happened later.
The opening, Narm aside. The shot of Franz, Eugenie, and Albert walking by the sea becomes especially painful near the end of the anime, since it references both the memory Franz recalls as he dies and a similar scene from Edmond, Mercedes, and Fernand's youth (mentioned above).