Ryudo's backstory. Originally the younger brother of the most respected swordsman on his island, he had to witness his brother running through his fiancee, a women who was like a sister to Ryudo, with a stolen sacred sword. It is also hinted that the brother went on a rampage and killed other members of the island village. Instead of comforting the distraught younger brother, the village ostracised him and this led Ryudo to where we find him at the start of the game - cynical, aloof, untrusting, and working a job that is looked down upon even by members of the 'loving church' nearby. OUCH.
The game sees him having to re-confront all of this past, eventually deciding that the being who looks like Melfice is no longer his brother but Valmar. Then he has to kill him.
Elena waking to find she is the only survivor of the group of Sisters of Granas to make it out, and she also got possessed in the process. There are minor hints that she blames herself for the deaths of the others too.
Tio's words to her clone when it lies defeated in the Demon's Law suggests that she regrets she couldn't make her sister understand as she does about being your own master.
Elena learning the truth about the Battle of Good and Evil and Zera's real plans; namely, that Lord Granas perished a long time ago, and the seals that had supposedly been keeping the Valmar parts from the forces of evil have actually been incubating them in preparation for his return.
Millenia's apparent death. Even if it ultimately doesn't stick, it doesn't make the scene any less heartwrenching.
Pretty much everything involving Aira. She was born with poor eyesight, and, when she is seemingly cured, it eventually turns out that she was actually possessed by the Eyes of Valmar. On top of this, her mother's efforts to cure her sight beforehand get her labelled as a witch after the fact, turning the entire village against the both of them. As if this wasn't bad enough, all the girl wanted was for everyone in her village to stop fighting and be happy, when, in reality, she was actually causing the the suffering they were currently going through. Add to that a Priestess intent on "purifying" both her and her mother (and the village itself, at the rate things were going) simply because she was possessed, and the poor girl finally snaps. In the end, the Eyes Of Valmar are removed from her, but, in the process, a portion of her soul is destroyed, leaving her alive but comatose. The townspeople, upon realizing what happened, are so stricken with guilt that they can barely function, and the party is more or less marked as an enemy by the aforementioned Priestess, who, despite all that happened, was still intent on "purifying" everything, though she reluctantly stepped out after urging from the villagers. She eventually recovers, but still...
