Kratos killing his wife and children in the last of God of War's flashbacks.
Even worse: In God of War: Chains of Olympus, upon reuniting with his daughter Calliope he is forced to abandon her to save the world. The scene where he must push his daughter away is made even more tragic as it is interactive, forcing the player to mash on the circle button to ditch poor Calliope as she tries to hold on to her beloved monster of a father.
The last two hours or so of God of War III. Oh, where to begin?
The entire Daedalus subplot is just.... depressing. He's been chained up inside the Labrynth, hanging from the ceiling because Zeus is a jerk, and is willing himself alive on the hope that his son Icarus will come and save him. His dream comes true when he sees someone with Icarus' wings flying around and solving the puzzle... and then he learns it's Kratos, who brutally killed his son in the previous game.
Seeing Kratos' wife and child die in III. The scene implies that they knew that it was Kratos who killed them.
The ending. Kratos finally kills Zeus, but has destroyed the world in the process. Athena pulls a Face-Heel Turn and demands Kratos surrenders the power of Hope. The spartan moves to finish her off, raises the Blade of Olympus... and then flips it around and runs himself through. Hope rushes across the world while Kratos bleeds to death. The last shot is a blood trail leading over the edge of a cliff, while the sun shines through for the first time since Helios' death.
The ending of Ghost of Sparta, where Kratos buries his brother Deimos after fighting beside him for the first and only time as a true Spartan.
Hephaestus's death. Believing that Kratos would kill Pandora, Hephaestus attempted to crush Kratos but failed and gets impaled. With his dying words, he plead Kratos to spare Pandoras's life and ask her for forgiveness. Kratos expressed sympathy for him through the rest of the game, since he was the only god he trusted and the reason why he attacked would be same as Kratos if his family was alive.
On that note, Pandora's death. Especially cruel since it's one of the few times Kratos is trying to stop something horrible from happening.
Not to mention that the box was empty and Pandora died for nothing.
On somewhat the same level as Hephaestus' death; Athena. At that point she was practically the only god feeling something akin to sympathy for Kratos and then he runs her through with the sword meant for Zeus'. Hers was probably the only death he regreted. Made worse by the fact that Zeus, her father, ''leaves'' her there. If you think about it, it makes it even worse for Kratos, because he just saw a father abandoning his daughter.
For all his Chewing the Scenery, Kratos' moments of emotion work. The sheer determination in his voice when he cries "I will save my family! fills the player with a sense of desperation; it's particularly heart-wrenching when you know he's doomed to fail.
Kratos hugging his wife and daughter, just sort of enveloping them in his arms, like he's trying to form a barrier of love and protection around them all.
Kratos' mother was cursed to turn into a horrible monster if she revealed to him where Deimos was being held captive. She does it anyways, even knowing her own son will have to kill her. Kratos does the deed and mournfully carries her body out of the temple.
Kratos being forced to Mercy Kill Orkos. Orkos is one of the few truly noble characters in the franchise, and even Kratos has come to respect Orkos as a friend. However, the Furies have ensured that Kratos will only be free if he kills Orkos. Kratos genuinely doesn't want to do it, and it's only when Orkos begs him that Kratos ascents to do it. Than the memories that will haunt him the rest of the series resurface. It's at this point that it all goes downhill.
The "From Ashes" trailer for Ascension. It's Kratos' pained and rage-filled expression that clinches it.
Kratos comforting The Oracle as she dies. He takes her hand, and for somebody who's usually as sociopathic and callous as Kratos, it's particularly jarring.