Any time Sam cries - which is a LOT. John Simm just breaks your heart.
Sam sobbing, almost hysterically, and draped over his TV in the first episode: "Wait! No! Wait, don't leave me, I'm in BUPA! Please don't leave me! No! No, please, I'm here! Don't leave me here! Please! Please! Please don't leave me!"
Episode 1-3 is rather depressing with Sam's knowledge of the future — the factory will get demolished, and there's nothing anyone can do about it.
It get's worse if you've been to, or worse, -live in- Manchester, you'll know how it can really be like that in some parts of the city, and you can just see where the industry died.
The last half of episode 1-4 contains an absolutely gut-wrenching sucker punch. Joni looks like she'll be okay — she honestly turns her life around and says she's going to escape to a safe place while uplifting music plays in the background...and then a few minutes later she turns up dead in the canal. It really hurts to see how guilty Sam feels, as well — in a way, it is his fault, and he knows it.
Ray: When you don't play the game, people get hurt. You didn't play the game, and she paid the price.
Perhaps what makes this moment somewhat worse is when you hear Gene knock quietly on Sam's door instead of breaking it down like he normally would. When Gene Hunt is out of character like this something bad has clearly happened.
Sam's "The Reason You Suck" Speech delivered to Pete in series 1 episode 5, where his normally-professional demeanour shatters and it's obvious that he's genuinely upset. It's painful because the subject of what he's talking about is a major real-world issue too.
Series 1 episode 6: After everything's gone to pieces and Sam is about to be killed by Reginald, he says a tearful goodbye to Annie and Gene while he attempts to Go Out with a Smile, and he starts to cry as he remembers a memory of his father that he talked about earlier. Possibly doubles as a Crowning Moment of Heartwarming, as remembering that memory saves his life.
The scene in the first season finale where Sam has to see his dad arrested.
Episode 2-5. Don Sheen is probably the most sympathetic antagonist in the series — he was driven to kidnapping and ransoming two innocent people because he was so traumatized by his daughter's murder. Everything in the final scene where he spills all the beans to Annie is just so depressing.
"I was ignored! The victim's own father, and I was ignored! [...] That girl, she's sixteen. My girl would be sixteen today. Where's my daughter's birthday party?!
The interrogation with Ravi in episode 2-6. Gene is completely ruthless, and even rubs his brother's death in his face. By the end of it, Ravi is in tears.
The second discussion between Sam and Gene about Gene's brother, an addict who disappeared. Sam offers to help Gene find him, only for Gene to gruffly respond "I already did, Sam. Just not in time." Also crosses with a Heartwarming Moment, since despite his gruff exterior Gene is obviously sincerely grateful for the offer.