Kirby of the Stars had a few that come to mind, the first being 'Birth? Kirby's Little Brother' when the (robotic) dog exploded. Even worse than that is when Kirby is sitting on the beach that night, looking almost as though he's unable to comprehend its death. Than he sees it as a constellation, running away from him.
The death of Chilly the snowman in 'Goodbye, Snowman Chilly!' and the near death of the baby Galbo in 'Kirby's Mysterious Egg. It was implied Chilly would eventually return, but you still couldn't help but shed a tear at his apparent demise.
(Japanese) Episode #51, anybody? Sure, the ending's upbeat, but Kirby still runs away from Pupupu Village after he's led to believe nobody likes him, and then cries—yes, CRIES, tears and all—after remembering the good ol' days with his friends he thinks have abandoned him.
The ending to Kirby and the Amazing Mirror. It's a Happy Ending, as in all the other Kirby games, since the Big Bad Dark Mind has been defeated and the four Kirbys go home, but the music...
And sticking with the Superstar series, in Revenge Of Meta Knight, after the former captain left the ship, Meta Knight tells the rest to leave. But they refuse, saying they will try to finish-off Kirby. Meta Knight thought about it and agreed, saying "Thanks, guys..." in the Snes version or "I'm sorry" in the DS version.
In Kirby Super Star Ultra, you can play as Meta Knight. It's pretty hard to get a game over with him because of his strength and healing abilities, but if you do...he's got his back to you, the player. If you select "Quit", he doesn't even move as the hand lifts him and places him on Pop Star, and he gives off this aura of shame and anger, that he was too weak. It's pretty guilt-inducing if you're a MK fan.
Kirby's Return to Dreamland - Landia's battle theme already gives off the vibe of a battle that shouldn't happen, but just try to listen to it without context.
