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Koneko's background: Her master is killed by her sister, who then abandons her to die supposedly. Thankfully, she was picked up by Sirzechs, who gave her to Rias.
In a way, Kuroka had it worse. She left her sister to keep her from becoming a fallen, and when she finally had the confidence to take her back, Issei, thinking she would hurt Koneko, almost killed her. Ouch.
Akeno lost her mother, and blamed her father for years, effectively leaving her an orphan. Until Issei and the Oppai God came along.
Kiba's past involves him and his companions subjected in a harsh environment to be able to wield a holy sword while believing in God. They all died except for him who was also succumbing to poison and only wished revengge.
The scene of him reaching Balance Breaker state in Episode 5 of Season 2 was done really well, the script, the melancholy music that is playing at the background, has put almost everyone in that area in tears. The ones who are not are Freed, Balba, Kokabiel and Xenovia, who is a stoic at that stage of the story.
Issei's death in Volume 11. Hell, just Kiba's Wham Line "That day, we lost Issei-kun." can still have this effect.
Not only Issei's death but the lead up to his death. Before he died he had just taken down Sairaorg and cemented himself as a hero in the devil world. His power had grew from a dirt-level devil to one that even a Satan could have trouble taking on. Not only that but he had just gotten promoted to mid class devil and judging from Azazel and Sirzech's talk it won't be long before he becomes a high-class devil. Meaning his dream of starting a Battle Harem wasn't a dream anymore. He also had heartwarming interactions with his friends such as calling Kiba his best friend and promising to marry Koneko in the future. To top it of he finally started dating Rias something which he had always wanted. When factoring in all his accomplishments, relationships and his future his death really is tragic especially since his death came out of nowhere.
The prologue to vol. 12 takes it Up to Eleven. It's set a few days after Issei's death. Ravel and Koneko are both trying desperately (and failing miserably) to contain their sadness, and end up crying in each others' arms. And they are the best off of the group. Kiba is verging into Stepford Smiler territory as he desperately fights to hold the group together. Akeno is in an Angst Coma, seeming more dead than alive. Asia wants to kill herself to follow Issei, only stopping because it isn't what he would want. And Rias essentially says that the world can burn for all she cares, if Issei isn't with her.
Sairaorg's past involves discrimination. That is all.
As revealed in Volume 9, there are those who followed Cao Cao because he gave them a reason to live instead of being feared by their own peers because of their abnormal Sacred Gear powers. Issei even gets to think of Asia's life during the time she was a human with her Twilight Healing and that those who have Sacred Gears as a human didn't really have a good life.
In volume 12, the past possessors of Boosted Gear sacrifice their lives to stop Samael's curse while singing the Oppai Dragon song. Normally it's funny, but somehow it's tear-jerking since they all sacrificed their lives and existences for Issei's will. Even Issei was silent about it.
Ddraig almost manages to pull off one when he reveals that in order to maintain Issei's soul while his new body was being remade, he had to use his spiritual powers and that he's about to run out soon. Issei was almost about to cry at having his closest partner departing from him until Ophis tells Issei that Ddraig's just sleeping. With a loud snore coming from Ddraig.
When Issei and Akeno visit the Grigori institute, Issei sees a wall full of paintings of people. When asked who they were, Azazel told him that it was a painting full of his old comrades who had died in the war and from other reasons. Considering Azazel's hundreds of years old, he must have seen a lot of deaths in his entire life.
In volume 12, Kiba battles Georg of the Khaos Brigade. Losing badly and about to face his own death, Kiba and the demoralized Gremory Group hear Ise's voice encouraging them to look after his best pal. One of Ise's Evil Pieces transforms into Ascalon and allows Kiba to win the fight. Apparently even beyond the grave, Ise cares for his friends. A mixture of tear-jerker and heatwarming since at the time no one was sure that Ise was ever coming back.
Valerie's last words to Gasper before she falls into a coma. To say Gasper was devastated that his best friend is going away from him would bring tears to anyone's eyes.