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Tear Jerker: Lux-Pain
The very end of the best ending. Rui has regained her memory of Saijo and forcible borrowed Akira's motorcycle in order to chase down Saijo, who is leaving town. She begs for the bike to go faster, as she's never thanked him for what he did. When she reaches the bridge out of town, however, Saijo is already gone. And in a heartbroken, defeated voice, she goes.
Rui: Dammit, Saijo
The death of Mako Ando. Right out of the blue, Natsuki tells you there's a problem in Area4, and when you go there, you see Yui with the unconcious Mako, sobbing uncontrollably. She's taken to the hospital, and we hear later that Makois fighting, and Yui gives a Rousing Speech to Tanaka and the other cops to find the serial murderer as Mako fights her injuries. But then, we hear on the news that she dies.
One that takes a while to happen: On this troper's third game, she noticed that she had a lot of mail she hadn't seen before. Even without any response from Atsuki, his friends in Kisaragi continued to mail him, and every one of those texts basically amounted to "Please come home".
Kagami and Takano's deaths. Especially the latter, given how broken up Aoi is about it.
Then there's just about anything to do with poor little Lil.
And Mint. Just... Mint.
And Atsuki's entire backstory. He had a happy family until Mom dies in a car accident, and they go broke because the company won't accept responsibility, so Dad dies hating the world, and Atsuki and his sister wind up in an orphanage, where she tries to cheer him up but is horrifically torn apart by Silent infectees. Atsuki himself is seriously maimed, and only survives by 'pledging his soul to Hell' for vengeance via a magical item that hurts him every time he uses it, and which makes him cold out of self-preservation because of the potential loss inherent in seeing other peoples' hearts. Then he arrives in Kisaragi, the game happens, Atsuki finds friends and a semi-normal life, and even in the best ending, he has to leave everything behind. Atsuki would be The Woobie if he weren't The Stoic.
It doesn't help that most of the scenes dealing with Atsuki's past involve the track "Noir," which along with "Memoria" is easily the most depressing music in the game's soundtrack.