"We mustn't keep our public waiting. It's showtime, Phil."
Especially sad when you know what's going to happen in the next two scenes... Phil believes he has killed himself and Punxsutawney Phil, but then finds he is still trapped in the loop.
Also, the Death Montage shortly after. It may be darkly funny, but Phil is now so anguished that he's been Driven to Suicide, and it's made worse by the fact that it doesn't take—he just wakes up at 6 AM the next morning. What's more, he keeps trying to kill himself. Try to imagine just how Phil has to be feeling at that point.
When Phil confesses to Rita that the reason why he knows so much about her (and all those other people in the diner) is because he is trapped in the timeloop... and she believes him.
"I told you. I wake up every day, right here, right in Punxsutawney, and it's always February 2nd... and there's nothing I can do about it."
And at the end of that day, when, having just read Joyce Kilmer's "Trees" to Rita, Phil makes a heartfelt confession of the feelings he has developed for her:
"What I wanted to say was, I think you're the kindest, sweetest, prettiest person I've ever met in my life. I've never seen anyone that's nicer to people than you are. The first time I saw you, something happened to me. I never told you, but I knew that I wanted to hold you as hard as I could. I don't deserve someone like you. But if I ever could, I swear I would love you for the rest of my life."
Her response: "Did you say something?", makes it even more tear-jerking, in addition to the probability that his nightmare is far from over.
And then, he wakes up to the same song, same Dumbass DJ chatter, no Rita, still February 2nd. Confiding in Rita changed nothing. Except himself.
As Phil learns the fragility (and preciousness) of life through his repeated and futile attempts to save a dying, homeless old man whom he was mean to in the first years of his stay on Groundhog Day.
This is especially heartbreaking because the old man looks EXTREMELY happy and grateful from the very first moment Phil meets him in the evening.
Also, Word of God states that execs originally wanted this subplot dropped because it was too much of a downer for a comedy. The director insisted that it stay in, and rightly so; because it shows the egotistical Phil that he is not in fact "a god", and it was the pivotal step to him learning how to genuinely and unselfishly love humanity.
Absolutely! Phil gets more character development in those 5-10 minutes (Or possibly 5-10 days) or so than he had in the entire rest of the movie up to that point.
Doctor: Sometimes people just die.
Phil: Not today!
The tone of utter despair in Phil's voice as he lies awake in bed, reciting the tired Dumbass DJ patter he will apparently wake up to every morning for all eternity: