"Crack. Dead twins. Crack. Dead Percy. Crack. Dead Harry..." Not even in her absolute worst nightmare could Mrs. Weasley imagine Fred and George being apart, even in death.
And also afterwards when Harry goes upstairs and can't believe that less than an hour ago he was worrying about who had become prefect. That he had 'never felt more grown-up in his life', it's like it's just dawning on him how real the situation is and that people he cares about could die.
Bellatrix taunting Neville about his parents ("Longbottom? Why, I've had the pleasure of meeting your parents, boy!"). It's made all the worse by the fact that we've seen them now. The tear jerker is his furious, heartbroken "I KNOW YOU HAVE!"
The scene in Dumbledore's office at the end is this when Harry learns about the prophecy.
Harry: I DON'T CARE! I'VE HAD ENOUGH, I'VE SEEN ENOUGH, I WANT OUT, I WANT IT TO END, I DON'T CARE ANYMORE—
Dumbledore: You do care. You care so much you feel as though you will bleed to death with the pain of it.
The scene with Neville's parents. Not only is it shown exactly what's become of them but, also we see Augusta being very harsh, telling people "He hasn't got his father's talents", and scolding him for not telling his friends about his parents, saying he should be proud, mistaking the pain and trauma for shame.
Especially the line, "Neville looked at them as if daring them to laugh. Harry did not think he had ever seen anything less funny in his life."
Neville's poor mother not recognizing him but always giving him a gum wrapper whenever he visits and that Neville keeps them instead of throwing them away.
The final book reveals it to be a Tear Jerker for another reason, but in Order, Harry's Broken Pedestal moment with his father as a teenager is really sad. Throughout the book, he's full of emotional confusion and psychological trauma and feels that Adults Are Useless and to see that his ideal image of his father is not true wounds him in a real way. Especially when he wonders if he really wanted to be like his father anymore, after being told by everyone who knew James. He eventually accepts it, much like people in life come to terms with flaws in their heroes or people who they look up to.
The "flaw" in Dumbledore's plan.
"I cared about you too much. I cared more for your happiness than your knowing the truth, more for your peace of mind than my plan, more for your life than the lives that might be lost if the plan failed. In other words, I acted exactly as Voldemort expects we fools who love to act. Is there a defence? I defy anyone who has watched you as I have — and I have watched you more closely than you can have imagined — not to want to save you more pain than you had already suffered. What did I care if numbers of nameless and faceless people and creatures were slaughtered in the vague future, if in the here and now you were alive, well and happy? I never imagined I would have such a person on my hands."
This is basically Dumbledore admitting that, not only did he begin to love his most effective intended weapon against Voldemort the moment he saw how brave and selfless and good Harry had become, he was probably trying to stop himself from caring about anyone this much after what happened to his sister.
After Harry learns about the prophecy, he goes alone to think and just wants to be left alone.
When Harry encounters Luna putting up signs asking for her stuff back. She acts so heartbreakingly nonchalant about the fact that people treat her this way because she's different, and Harry finally begins to understand her in a way he never has before.
The scene where Moody gives Harry a photo of the original Order of the Phoenix and describes how many of them died. It's pretty sad because all of the subjects are smiling and waving at the viewer, oblivious to the fact that this photo was probably the last time they were all together and alive.
The fact that There Are No Therapists is something of a Tear Jerker, but it hits really hard in Book 5. Harry (As-of-yet-unrevealed Horcrux problem notwithstanding) is not only dealing with usual adolescent hormones, which is scary enough, but bore witness to a terrifying series of events at the end of book 4 and was on the train to his so-called 'home' before he even had a chance to process everything. No wonder he completely breaks at the end of the book and actually implies a desire to die at least twice.
A Harsher in Hindsight moment, when re-reading the book and Sirius scolds the twins and says "This is why you are not in the Order! You don't understand! There are things worth dying for!", a slap in the face considering he dies later on, trying to help his god-son.
The uneasiness and paranoia Harry develops for a bit in the book, worried that he was an easily possessible person for Voldemort and could end up hurting his friends at any moment.
A small one, but Hermione mentions writing to her parents when she's made a prefect because "it's something they can understand." She probably doesn't have much contact with them because they can understand so little about her life.
From the Film:
The scene in Order Of The Phoenix where Dolores Umbridge fires Professor Trelawney. "Hogwarts is my home!" It's even sadder when the poor woman breaks down while most of the students and a few teachers are looking in on the scene.
In the Order of the Phoenix, when Harry is possessed by Voldemort and fights back by remembering everything which makes them different. "You're the weak one. And you'll never know love. Or friendship. And I feel sorry for you."
One of the most memorable parts of Order of The Phoenix is Harry and Luna in the forest with the Thestrals. If you've ever been ousted from peer groups for being odd or different, this scene hits very close to home.
Luna: They're called Thestrals. They're quite gentle, really, but people avoid them, because they're a bit...
Made even sadder when the only reason that Harry and Luna can see the Thestrals, because Harry couldn't at first, is because they've seen death. Insert flashback of the previous film's climactic scene and aftermath.
In other words, Luna watched her mother die.
Every scene with Harry and Sirius together:
Whenever Harry and Sirius hug. Every single time.
Sirius showing his spot of the Black Family Tree that his own mother burned off after he ran away from home("Charming woman.") Then he tells him he went to stay at James Potter's family. ("I was always welcome at the Potters.")
When Sirius tells Harry that when the war is over, they can finally be a proper family. A Crowning Moment of Heartwarming, yes, but also a tear jerker because Sirius dies before they can. The next time they meet, in fact.
Sirius's death. Even for those who don't cry very often at films, this was absolutely devastating.
Sirius: Nice one, James!
This one actually affected me quite a bit. Previously, we had only seen bits of Sirius' damage from his stay in Azkaban, and that was mostly the screaming newspaper photo and how he acted after he met up with his old friends in the Shrieking Shack. This showed to me that the scars and damage are much deeper.
Also from Order of the Phoenix, Hagrid's plea to Harry's trio to look after Grawp for him. Hagrid is such a big softy.
In the OotP film, the scene where Fred and George sit down to comfort a crying first year after he's been punished. They show him their hands and say, "See, it's not so bad. You can hardly see the scars." They aren't just good guys, they're good men, protecting and comforting the weak when they need it.
The utter despondency and grief in Remus's face when Sirius gets killed just breaks my heart.
And Harry's absolute anguish during this scene is heartbreaking. After Sirius goes through the arch, the score starts playing over the scene so that you don't hear any of the character's voices. But then you see Harry stare at the arch in horror and say "No!" Then it cuts to him screaming in agony as Lupin tries to calm him down. You really do want to see Bellatrix get her comeuppance as she gleefully sings "I killed Sirius Black!"
And the worst part was that Daniel Radcliffe wasn't miming that scream. The reason you don't hear any audio at that moment was because they cut it during post-production. Apparently, it was too agonizing.