Heather's death with "Who Wants To Live Forever" playing in the background.
Pretty much all the main character deaths of the series.
Tessa, killed at the very beginning of Season Two in a completely senseless death by a mugger, just after she and Duncan had decided to get engaged.
Darius, the kindly immortal priest, was murdered in his own church after centuries of forswearing The Game and doing no harm to anyone.
Richie is killed at the end of Season Six by Duncan himself after the demon Ahriman tricks them both with illusions into fighting a duel against each other.
The worst part of this is the immediate aftermath. After Duncan kills Richie, he endures the quickening but at this point both he and the audience are still unsure whether he killed Richie or demon!Richie. He calls out Richie's name uncertainly. Richie steps out from behind a pillar nearby... and then smiles wickedly.
The scene is made even more painful by Joe breaking down in tears at the sight and Duncan demanding Methos(who turns away in disgust) take his head.
Conner's death in Endgame.
Connor: One of us has to die now, old friend Duncan: No. Connor: And you know it. Duncan: No. Connor: Good-bye, Duncan, my true brother.