The aftermath of the final battle with EI-01. Yeah, they don't actually die, but everyone's reactions when they think they have are nothing less than heartbreaking.
Professor Leo's reminiscing about his late wife will tug at the heartstrings. Doubly so when they reunite at Jupiter
Professor Leo's death.
The end of the battle against Zonuda. Mikoto is begging Guy to kill her while she still has control of her body, while he walks out onto GaoGaiGar's hand, holding a battered Mamoru. Zonuda sublimates his cyborg systems, as he says that they'll die together and walks towards her. He borrows Mamoru's powers, using purification. In the end, they both survive, but the scene is still very touching.
Episode 30. The heroes have defeated EI-01, but apparently gave their lives in the process. The music and Mamoru's desperate pleas for them to wake up set the mood perfectly. Even knowing the series is barely halfway over and knowing they'll be proven to still be alive mere moments later doesn't keep the tears at bay. By all outward appearances, from a technical viewpoint they really were dead at the time, as they had fully expended the power of their G-Stones in the effort to defeat EI-01. (The energies of the Zonder Metal and the G-Stones, being polar opposites, neutralized each other.) Mamoru's powers (on which G-Stone technology was based), thankfully, were not affected by this (giving a hint of just how powerful he would eventually become), allowing him to bring forth a miraculous, though far from immediate, recovery.
The next episode is brutal, just brutal. New aliens arrive and seemingly kill everyone but Mamoru and Guy. Complete hand-over-mouth horror.
Particularly when : said aliens utterly demolish the titular mecha. Mamoru's dialog right there says it all:
And, of course, the ending to both the series and FINAL. Nothing about anything that awesome is ever sadder than those two little words..."THE END".
Another example in GaoGaiGar FINAL Episode 2, after Guy Defeats Repli-GaoGaiGar with Hell and Heaven, the mood quickly changes when Guy opens Gao Figh Gar's hand to reveal...a injured and bleeding Mamoru. evil clone or no, Guy's facial reaction sums up the whole thing.
"Itsuka Hoshi no Umi de - Character Version" is certainly a Tear Jerker as well.
The entire Mobile Unit sacrificing themselves to defeat the 11 Soul Masters or being curbstomped trying to do so. Watching Hyoryu and Enryu overload their Chest Blasters, Big Volfogg's arm turning against him, Ten Ryu Jin being impaled... To this troper, the worst ones were Hyoryu and Enryu's sacrifice and Big Volfogg's self-defeat.
A different take on this, is the thought of what will happen to GGG after the end of FINAL. They have been exiled from their home planet, they've destroyed the solar system they are in, they are stuck in a collapsing universe... Needless to say, their situation is hopeless, unless they can somehow survive for 8 years, at which time, the Galeoria Comet will return to Earth's orbit.
The opening to FINAL Episode 8. After the last few episodes have given us progressively more and more Hotblooded iterations of the opening theme, Episode 8 brings us Yuusha-Oh Tanjou (Piano Solo version). Bonus points for also giving us a recap that practically SCREAMS Bittersweet Ending.
Real Life example; season 2 was never dubbed into English due to low sales of the first season. The delays caused by the focusing on Voltron didn't help matters. It's a crying shame since the first season's dub was handled extremely well. This kills the chance of FINAL ever getting a western release.