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Tear Jerker: Last Exile
Luciola's death in Last Exile. Having spent the whole series as an Extreme Doormat, his defiance of Delphine's will for the sake of Dio was truly inspiring. Then he demands that she truly set him free, and she asks what Dio is worth to him just before killing him.
Luciola: He... He is my friend, and I will not betray him.
It got worse for the viewers once they learned the name of the incredibly heartrending song played during Luciola's flashbacks of his earlier times with Dio, as well as during his death scene: "Lost Friend." This troper cannot listen to that song without crying.
After this, Lord Dio in the final episode. The reference to the earlier race where Dio shouted for Luciola to jump out and lighten the load in order for him to win is mirrored when Dio, having beaten Claus, turns around to celebrate his victory with Luciola only to find that he's not there. This really drove home Luciola's death to this Troper.
Additionally, Sophia launching the attack on the Guild ship, only to hear Alex speak just as the attack was launched. Alex having killed the Maestro only moments before meant that the missile attack was meaningless, and he died at the hands of his second-in-command.