The first cutscene involves Terranort watching as Even and Ienzo fade into darkness. Ienzo is a child, and his little body lying next to Even's...
It's not at all hard to imagine Even tried to save Ienzo from Xehanort and failed, getting his own heart stolen for his trouble, thus leaving Ienzo easy prey. Talk about Adult Fear.
For an opener that runs pretty quickly over the main parts of the game series thus far, the fact that they decided to include Xion's mini-flashback to when she, Roxas, and Axel were eating sea-salt ice cream atop the clock tower - and the subsequent smirk on Xion's face that lasts about a half second before she disappears - says a lot about her significance to Roxas' story, especially since Roxas' part of the opener purely consists of Xion and Axel. It practically yanks at the heartstrings because despite her significance, anyone who's played 358/2 knows that NOBODY WILL REMEMBER HER AT ALL.
Actually it's almost explicitly stated near the end that Roxas and now Sora, remember her.
The Grid. Don't let it's cool appearance fool you. It's the second saddest world in the game, behind only The World That Never Was. Of the characters found here, only two survive to the end. And not only that, many, MANY, fans cried after defeating the boss in Side: Sora.
Every worry comes true and then some. Tron/Rinzler serves as a boss for Sora, just to make things worse for the teen, and after Sora defeats him and uses the Keyblade to free Tron from Clu's control, Clu tries to derezz them both with his disc out of jealousy! While Tron was able to protect Sora from Clu, the disc creates a hole underneath him, causing him to fall into it. Sora tries to reach out for his friend, and Tron reaches back to him, but Sora can't save him, resulting in the program falling to his death. Sora even realizes that "Rinzler" was reaching back to for him and what it meant, but they couldn't reach far enough. Worst of all, Clu was able to get away with this!
Actually, it's unknown if Rinzler survived the fall. Clu angrily comments that he then needs to find him, implying that Rinzler survived.
Only made worse by the fact that Tron was probably one of the past party members Sora was closest to (he even hugged Sora goodbye in his last appearance!).
The look on Lea's face when Isa attacks him while he is rescuing Sora.
And for that matter, the revelation of what reallyhappened to Isa after he became a Nobody.
Worse still is a moment later, when Riku's voice just barely cuts through the nightmare. He's begging Sora to stop following the dreams, and it almost looks like it's going to work, but he just keeps running.
From the ending bits of Kingdom Hearts Dream Drop Distance: It's gut-wrenching seeing Sora end up exactly like Ventus. Sure, Lea comes in as a Big Damn Hero and saves Sora from becoming a Xehanort clone, but again, Sora=Ventus right now. Comatose with a shattered heart teetering on oblivion. It was scary finding that we were so close to losing him... to losing EVERYTHING...
Just looking at him sleeping peacefully, back in his true form, in Yen Sid's Tower, is heartbreaking.
And finally, when a comatose Sora is brought back to Mysterious Tower, Mickey worries that things are repeating with what happened to Ven. It shows that Mickey has never really gotten over what happened back in Birth by Sleep, and the he's worried to lose someone else the same way as Ven.
The chronicle summarizing Days basically confirms Xion's suicide attack, stating: "The two fought and Xion got her wish: she was defeated."
In the Three Musketeers world, when Donald and co. realize they've been played for fools by Pete as he's managed to successfully kidnap Minnie, Donald via his pessimistic attitude bails on the whole thing. Mickey trying to call out to him running away with the music playing in the background just hurts.
After Sora defeats Xemnas, he is absolutely winded. Peppiest guy in the world, never shows he's tired for a second, actually allowing that shell to crack. Even worse, his heart has finally snapped, and has given into the darkness, ending his side of the story in the most tragicway possible.
It's almost as if he's using the last of his strength to call out for Riku to come save him... because Sora knows that it's too late for him to save himself.
And Ansem SoD's conversation with Riku shortly after implies that he could feel Sora's heart breaking and falling into darkness.
After Sora meets Roxas, he is made to know what happened in 358/2 Days, much like what happened near the end of coded. However, it's even sadder than the equivalent scene in coded. Sora is basically staggering under the weight of all that he just learned, and he comes out with this line:
Sora: Not again... Did they cause all this pain...? ...WHAT DO YOU WANT ME TO SEE?!
In relation to Sora's Dreams in The World That Never Was it HURTS to see Terra and Aqua turning away from Ventus.
The revelation that Nobodies did manifest hearts without knowing it puts Axel's dying lines from KHII in a new depressing light.
Axel: I wanted to see Roxas. He...was the only one I liked. He made me feel...like I had a heart. It's kind of...funny...you make me feel...the same...
Hell, it makes some lines from KHII more depressing in hindsight...
Demyx: Oh, we too have hearts, don't be mad...
Just the fact how genuinely upset Sora sounds when he asks how Xemnas could lie to the Organisation about not having hearts. It's made even worse when you remember how Sora constantly looked down on the Nobodies for not having real feelings in KHII...