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Tear Jerker: His Dark Materials
The scene in The Amber Spyglass, the last book in His Dark Materials, where Lyra and Will realize that the Dust is flowing out of the universe because of all the open holes in between worlds, left by the subtle knife. The angel they are talking to says that, if they work their entire lives to promote good, there will be enough Dust regenerated to leave open one door. They are desperately in love and, because neither can live in the other's world for long (and because neither wants the other to sacrifice their lifespan just for ten years together, especially since they would keep living after that), they desperately want to leave one open between their worlds. There is almost the mother of all happy endings until they realize they can't shut the one that prevents departed souls from being trapped in the Underworld for eternity. Cue a sob-fest that lasts until nearly the end of the book — at least twenty pages.
Tony's story. That is all.
And if you somehow survive that plot twist, the last book (between Lyra and Pan's separation and the finale) will shoot you in the brain.
Another sad part is Lord Asriel and Marisa Coulter's suicide gambit against the Metatron, especially "I lied and lied, Asriel . . . I wanted him to find no good in me, and he didn't. There is none.", followed by Marisa's choice to use her own weight to drag Metatron down into the abyss, and preventing him from throwing Asriel off and escaping to finish anything after that chapter for a good week or so.
Despite how sad those were, the saddest part in the whole trilogy for some people was Lee Scoresby's heroic death. It started off as sad when he realises he isn't going to live, but then when he's holding Hester and tells her not to go before he does.
And the scene in The Amber Spyglass where his ghost dissipates to be reunited with the Dust of his 'beloved daemon Hester'... well, that just has me weeping all over again, every time.
Balthamos pulling off a simultaneous tear jerker, CMOA and CMOH when he/she saves Will and Lyra by killing the priest stalking them with a scoped rifle, performing one final sacrifice before disintegrating from sheer grief at the death of Baruch.
Pantalaimon's abandonment in the Land of The Dead. He becomes the absolute textbook example of heartrending woobyishness.
The ending of Northern Lights, wherein Roger dies. In particular, Lyra's kissing Roger's face before leaving his body behind as she goes onwards, and this line
We got it wrong, though, Pan. We got it all wrong about Roger. [[We thought we were helping him.
This is particularly true of the audiobook version because the actress's voice breaks heartrendingly on 'helping'.
John Parry's death. He's just gotten to see his son for the first time in years, and Will has no memory of his father at all...and the man's shot dead right afterwards.Jesus.