Elaine Belloc's death. Not only is it an unwitting Heroic Sacrifice, but the fact that she doesn't realize she's dead until Death of The Endless herself tells her and hugs her in comfort makes it absolutely heartbreaking.
Death: I'm really sorry, Elaine. What you gave him was life, you know? (hugs her) And there's only so much to go around.
Lucifer had a fair share of these moments. Like when the universe the title character created is mutated and his creations forced to disobey his one rule (don't worship anything).
This troper shed a tear at God's last words to his proud, difficult, stubborn son, expressing his respect for Lucifer's most defining characteristics. "Then go well, Samael, my son. Go far. Stop for nothing."
He already knows. He has always known.
The sheer momentous significance of this one scene I found quite moving, in an "Oh crap, the universe is breaking" way as well as some "I always knew he was the one with a backbone, but damn kind of way":