This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Kamen Rider Double
Soukichi's Death, partly because how utterly out of nowhere it comes. He gets shot to death by Museum thugs and with his last actions puts his damaged fedora on his pupil Shotaro as said pupil screams in grief. On top of that, the Taboo Dopant busting through the floor causes his body to fall into the hole she made, preventing it from even being retrieved by his loved ones for a proper burial. Oh, and this also happens in Episode 1, before the show's been running for even a minute. The only thing keeping this from being a Downer Beginning is the fact that Shotaro and Philip become Double for the first time during this sequence and escape in a spectacular way before going on to be the absolute biggest thorn in Museum's side.
The Bird Dopant arc (starting from Episode 17) lands some heavy blows. First, teenagers doing a direct injection of a Gaia Memory that is not meant by them AND without having a bio-communication port. Second we learn that Kirihiko (Nasca Dopant, Gaia Memory Dealer) is suffering a slow death due to his memory achieving Level 2. Oh, the second shouldn't count? Then the third will change your mind: FangJoker tells him he is making the city he loved so much cry, and that is more than enough to having him go through a change of heart, to the point he helps Double eject and destroy the Bird Dopant's Gaia Memory and soon gives a present he promised to Shotaro (To those wondering: Fuuto's Mascot Keychain) and asked him to protect the city. And the fourth and last point is that he is killed by his very wife, Saeko, on top of the building, enjoying the last minutes of his life with the winds that blesses the city.
The entire damn thing of episode 48. First, you have the first (and possibly only) full appearance of the acoustic version of an ending song, in this case Cyclone Effect, playing over Shotaro and Philip's last (possible) scene together as Shotaro struggles to cancel the transformation for the last time. Then you have Philip fading away along with the Xtreme Memory, followed by Manly Tears, followed by everyone being depressed, followed by Shotaro getting a goodbye note/gift from Philip telling him to contuine protecting Futo, and for the preview, in order to avert Mood Whiplash, plays "Nobody's Perfect" instead of the opening theme.
Their actions in the final episode seem to confirm it. They just revived Philip, see below
Episode 49 does it again with Wakana performing a Gaia Impact in order to restore Philip by giving him her body. Inside the Xtreme Memory, we see the entire Sonozaki family reunite as they all say their final farewells to Philip before disappearing.
On top of that, When Akira learns the truth about Philip, we see Shotaro despondently wandering over to one of his partner's whiteboards and find out he's been unable to erase the Charming Raven clue from it. Before the camera cuts back to Akira we clearly see Shotaro about to break down crying over the loss of his partner and best friend.
Shotaro's seeming death is one of the cruelest Bait-and-Switch moments in Kamen Rider history. The moment itself happens right before a commercial break so, for at least a few agonizing minutes, children watching across Japan had to cope with the idea that both of their heroes were dead. Thankfully the tears become happy when it's revealed in short order that Shotaro was saved by the Xtreme Memory and that Philip's back. It also unfortunately leads to the above moment of Wakana's Gaia Impact.
Double Returns: Eternal has Daido coming upon the slaughtered Quark subjects he failed to save, a sight so horrific that he's Driven to Madness by it. After watching that, The Movie becomes a lot more of a Tear Jerker...
The flashbacks in Episode 46. Seeing the Sonozaki clan as a genuinely happy family, knowing how far they've fallen is grueling.
The Double half and ending of Movie War Core. If you watched Double Returns: Eternal and thought "how can it possibly get more depressing than this?!" you ain't seen nothing yet. The Spider Dopant's special ability is Spider Bombs that kill not the victim, but the person the victim loves most, transmitted by the victim's touch. Because of this, dozens of citizens are suddenly killed in front of, and at the touch of, the people who would suffer most from this happening, and Soukichi himself can never be with his daughter Akiko (it'll kill her) or his love interest Melissa (it'll kill him) again. Naturally, this all happened on Akiko's birthday. Oh, you know how most Monster of the Week effects have No Ontological Inertia? Not so with these. Once infected is forever infected, even with the Spider Memory destroyed (the Dopant memory isn't the one used in Shotaro's grappling thingy.) The series itself isn't that depressing but its post-series movies seem to keep trying to top the last in terms of soul-rendingness. Also, the series has several funny moments. Core has very few. We start with Akiko being merely sick of her fiancee and friends having to run off and do Rider duty and the whole thing descending into more and more despair. Does the scene with Soukichi's ghost at the end begin to make up for it?