Brom's death, particularly his last few words with Eragon.
"I am old, Eragon . . . so old. Though my dragon was killed, my life has been longer than most. You don't know what it is to reach my age, look back, and realize that you don't remember much of it; then to look forward and know that many years still lie ahead of you. . . . After all this time, I still grieve for my Saphira . . . and hate Galbatorix for what he tore from me. Don't let that happen to you. Don't! Guard Saphira with you life, for without her, you'll find that it's hardly worth living."
It's worse in hindsight, with the last-book revelation that Brom was Eragon's father.
Murtagh's anguished cries to Oromis and Glaedr while they fought him and Thorn:
"Curse you for not showing yourself sooner! Curse you! You could have helped us! You could have-!"
Murtagh being forced by Galbatorix to torture Nasuada.
Murtagh's life in general.
Sloan's fate in the last book. Katrina is in Ellesmera and he can hear her, and even see her (Eragon restores his sight) but he cannot talk to her, nor contact her in any way.
Eragon's fate in the last book, as well. He's not going to see anyone he loves ever again, and he's got the arduous task of rebuilding an organization of Dragon Riders in an unexplored continent totally isolated from civilized life. He's not going to get with Arya and he's not going to see his baby-niece or his brother or any of his people ever again.
Not exactly. Earlier comments reveal that he will still be able to keep in contact... seeing them and being seen through scrying, and keeping in contact through Magical Mirror Vid Phone Calls, and theoretically all those people could visit him... he's just never going back to his home continent himself.
The description of the pile of bodies at Yazuac is both horrifying and depressing, considering the true emotion and sentimentality Paolini packs into that one paragraph. No wonder Eragon was so distressed by the sight of it.
"Slaughtered men lay over the women they had tried to protect, mothers still clasped their children, and lovers who had tried to shield each other rested in death's cold embrace. Black arrows stuck out of them all. Neither young nor old had been spared. But worst of all was the barbed spear that rose out of the peak of the pile, impaling the white body of a baby."
Ajihad's death in Eldest. Made even more jarring by the fact that it happens in the first five pages.