Just to emphasize on that; Nagato is very much The Stoic, to the point where the blink of an eye is the equivalent of her eagerly nodding in anticipation (As seen from Day of Sagittarius III). Her being visibly bored is the equivalent of a Heroic BSOD. That is also the same reason that seeing Yuki smile was a major player in tempting Kyon into staying in her self-made AU.
When Kyon told Haruhi that she should find herself a nice guy to walk with and give up on all of this weird business, and Haruhi went unusually bitter as she replied with the following rant:
Haruhi: Men are worthless. Feelings of love are just a temporary lapse in judgement. Like a kind of mental illness. Even I... get in the mood for that stuff every now and then. I am a healthy young girl, after all. My body has its urges...
Alt!Yuki's behavior in Disappearance seems to be designed to induce this. It's a huge shock to realize the quietly competent one has been broken, to leave a Shrinking Violet beyond anything we've seen. And then there's the look on her face when Kyon gets stabbed...
That look is just appropriate horror. The true tear-jerker expression from Alt!Yuki in that movie is her face when Kyon returns the Literature Club application to her. Way to utterly break her heart in the cruelest way possible, Kyon!
The utterly defeated look on Kyon's face when he hands it to her does not help things in the least. He has no desire and nothing to gain in hurting her this way. As much as people talk about him being given the "choice" it's obvious that he has none. That's why Yuki decided that he needed to be the one who remembered, because he was the only one who would choose the "real" world with all its inherent craziness over her fantasy. He must Set Right What Once Went Wrong, but that doesn't mean he's happy about it
The way I see it, the very fact that Alt!Yuki gets told flat out by Alt!Asakura that she's only doing what Yuki wanted her to do, which was protect her, which to Asakura means killing anyone who would scare or hurt her, even those she cares for, is not only horrifying but absolutely heartwrenching. Just imagine ending up in a world you considered perfect, only to have something like that happen.
The biggest tear-jerker in "The Disappearance" was when Kyon was lying bleeding on the ground with Mikuru shaking him and crying, thinking to himself simply: "I'm going to die."
The simple fact that in "The Disappearance" Yuki changed the whole world just to give Kyon and the others a chance to live a perfectly normal life is a tearjerker. She might look emotionless, but deep inside she really cares about them.
And then there's the fact that she could have lived as a normal girl in the new world, but eventually the original world is restored and she reverts to a Humanoid Interface. Sure, it was for the best, but still...
Mikuru in episode 2. God, that was depressing.
Mikuru: [to Kyon] If I find I'm unable to get married after this [post-bunnysuit incident], will you marry me?
For those who've read "Charmed at First Sight LOVER", after Yuki fixes Nakagawa so that he can no longer see the Integrated Thought Entity, and Nakagawa rejects her, Kyon asks Yuki if she is disappointed that his feelings for her weren't real. Her response? "... A little bit." Given how anything she says has a major impact and emotion is twenty times more, it's impossible to not feel horribly depressed, if not tear up a little.
Kyon attempting to punch Haruhi was pretty upsetting, even though she deserved it. She's visibly shaken and passes it off a anger at the time, but she's obviously incredibly torn up about it later. YMMV, though.