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Tear Jerker: Mad Men
The scene where Joan puts make-up on Roger Sterling after he's just had a heart attack in Season 1. Joan genuinely cares for him, and while he's being his usual blunt, funny self, he pointedly speaks of their relationship in the past tense. Joan is visibly hurt.
It's heartbreakingly inverted in season four when Joan acts as if nothing is wrong when she plans to have an abortion. She refuses to let Roger go with her, drive her home, or even speak to him afterward, and their keeping the child is out of the question. Roger is now the one desperate for the emotional connection in their relationship, which Joan will not allow because they're both married to other people.
It's later revealed that she didn't go through with the abortion, and is passing off the baby as her husband's. It remains to be seen how this will play out.
Betty's struggles with her Body Image. These are more emphasized when she was pregnant in Season 3, got depressed and gained weight in Season 6, and quickly lost weight within that same season. Nothing is ever good enough for Betty because she doesn't believe herself to be good enough as she is.
Adam's entire storyline is heartbreaking, especially in hindsight.
Don revealing to Betty why he refuses to use physical discipline on their kids.
Peggy's stint in the hospital after bearing Pete's child and Don coming to see her.
Duck abandoning his dog to the streets of New York.
Peggy finally opening up to Pete about their child and the revelation that she gave her away. Seeing Pete driven to shedding a tear, especially after his difficulty conceiving a child with Trudy and his professed love with Peggy, illustrates how heartbreaking the entire event unfolded.
Joan — Joan — bursting into tears during her farewell party. After finding out that her date-rapist husband isn't going to get the job that their future financial security was hanging on. Shortly before proving herself to be the most competent damn person in the building.
The JFK assassination episode. All of it.
Don, when he tells Betty of his past and is driven to tears.
Sally's reaction to news of Grandpa Gene dying.Especially the rant she delivers at her parents later that episode.
Sal being fired and insulted for being gay by Don after he turned down Lee Garner, the Lucky Strike heir's, advances. The implication is that he never goes back to his family or life again.
Don going to Peggy's apartment and asking her to quit the firm and join him in Sterling Cooper Draper Pryce
Don: With you or without you Iím moving on. And I donít know if I can do it alone. Will you help me?
Peggy: What if I say no? Youíll never speak to me again.
Don: No. I will spend the rest of my life trying to hire you.
The scene where Don and Betty break it to the kids that they're splitting up. For anyone who's ever been through their own parents' divorce, it's a familiar scene and the way it's played can hit home hard.
Don and Anna in 4x03. When we find out Anna has cancer. Jon Hamm acts his little heart out as he says goodbye to a seemingly-oblivious Anna.
The tears are already flowing before the end, considering Anna is the only person in his life Don seems to completely and unconditionally love and trust. Losing her is going to devastate him.
"I know everything about you and I still love you."
Several from The Suitcase
Don and Peggy's argument. Worsened by the fact that Don's learned that Anna's condition has worsened and Peggy's lingering resentment of being under-appreciated by Don.
Peggy admitting that she tries not thinking about the fact that she gave up her baby for adoption but she can't stop sometimes.
Don: Do you ever think about it?
Peggy: I try not to, but then it comes up out of nowhere. [Pause] Playgrounds.
Don finding out Anna has died and breaking down in front of Peggy, who tells him that Anna isn't the only person who "really knows" him and doesn't care.
Lane's suicide and its aftermath in Commissions and Fees. The Black Comedy elements of the cleaner first attempt makes it even sadder.
Also the shocked and disappointed look Don gives her because he thinks she did it after he told her she didn't have to when it's later revealed he was already too late. It's devastating to both because she was one of the few woman he respected and his was one of the few men's whose respect she valued.
In the very same episode, Peggy gives Don her two weeks notice. It is one of the best scenes of the entire series, and it will destroy you.
"The Phantom" has quite a few:
Joan thinks that it was her fault that Lane hanged himself.
Don keeps seeing Adam.
Pete learning just how horrible Beth's life is.
Pete talking to Beth who is in recovery from electroshock therapy and barely remembers him about why he's been so miserable this season.
Michael Ginsberg's whole backstory.
The season premiere confirming what was strongly hinted at in the Season 5 finale. Redemption Failure, bad ol'Draper is back
Don: I want to stop doing this.
Roger's tender trip with his grandchild ends in a blunder; the boy is a bit traumatized by Planet of the Apes so Roger's daughter decides to insulate the boy from his grandfather. She seems to cut him so slack later, but it turns out she's only being nice to him for his money.
Don's monologue in The Flood
I don't think I ever wanted to be the man who loves children. But from the moment they're born, that baby comes out and you act proud and excited and hand out cigars but you don't feel anything. Especially if you had a difficult childhood. You want to love them, but you don't. And the fact that you're faking that feeling makes you wonder if your own father had the same problem. Then one day they get older, and you see them do something and you feel that feeling that you were pretending to have. And it feels like your heart is going to explode.
The utter destruction of the relationship between Don and Sally after the latter catches Don and Sylvia reigniting their affair in "Favors". It finally shows Sally just how messed up Don can actually be, and, having now lost respect for both her mother AND her father, she decides she'd rather sever contact with them altogether and spend her time in boarding school.
Luckily, the end of the season 6 finale implies that Don and Sally may reconcile.
Several moments in the season finale:
Don's Hershey pitch.
It said "Sweet" on the package. It was the only sweet thing in my life.
Ted telling Peggy that he and his family are leaving for California, ending any possibilities of a romantic relationship with Peggy. He insists that it's good for both of them, but she's not convinced.
Ted: Someday you'll be glad I made this decision.
Peggy: Well aren't you lucky. To have decisions
Don gives up his spot to California for Ted so that the latter can save his marriage. When he tells Megan, who quit her job after Don told her about moving, she frustratedly tells him "I can't do this anymore," implying that she's giving up on their marriage.
They went with "Both Sides Now" for the credits so there's no escaping that.
In "Field Trip", Roger tells Don that he can come back to work, but Roger forgets to tell the other partners about this and comes to work several hours after Don arrives. The result is that Don awkwardly shambles through the office while most of the higher-ups give him accusatory looks and treat him like some kind of fossil. Peggy even drops by just to tell him that she's still upset with him over his role in breaking her and Ted up.
Roger's actions during the partners' meeting, while also serving as awesome and heartwarming, have shades of melancholy as well. While he seemed generally apathetic to Don's return at the episode's onset, seeing the rest of the firm (especially Bert and Joan) call for Don's dismissal is enough to provoke a defensive vigor in Roger. One really gets the sense that he's hurt and angry that one of his few close friends is being trivialized after everything he's helped them to achieve.
There is also the subplot where Betty and Bobby go on a field trip. He's ecstatic that she's here and is telling everyone Betty is his mother. But then he trades her sandwich for gumdrops for a girl who didn't have a sandwich, and when Betty asks him about it, he replies that he's never observed Betty eating. Betty suddenly becomes cold to him. Later she tells Henry that Bobby ruined "a perfect day", while Bobby tells Henry that he wishes "it was yesterday again." Then Betty asks Henry if she's a good mother and why her children don't love her.
Megan tells Don she wants a divorce.
Roger trying to get his daughter to come back home to her young son after she runs off to a hippie commune. He asks her how she could leave her baby. Margaret asks bitterly if he felt bad all those times calling his secretary from a hotel to pick out her birthday present. Roger has no response but the look of regret and guilt on his face says it all and he walks away dejected.
Don moving into Lane's old office and finding his Mets pennant.
Ginsberg becomes completely unhinged by the presence of the new computer in the office, cuts off his nipple and gives it to Peggy. Peggy calls to have him committed and he's taken out of the office strapped to a gurney raving to his co-workers "GET OUT WHILE YOU CAN!"
The sadness from both Stan and Peggy over their friend's mental breakdown with Stan riding with him in the elevator and Peggy, whose eyes are red from crying glaring at the new computer accusingly.
Julio and Peggy crying when they learn that he and his mother will be moving to Newark. The combination of them crying and hugging; Julio moaning that his Mom doesn't care about him and Peggy replies that his Mother does and that's why she made the decision becomes very acute when one remembers that Julio is just a year older than the child Peggy had given up.
Bert Cooper's ghostly farewell to Don at the end of "Waterloo", singing and dancing to the "Best Things In Life Are Free". You're laughing at the audaciousness of the show's producers to break out a what-the-hell send-off, and you're crying at how it's the best way to let Robert Morse say farewell with his character to the audience. And you're worried about how badly Don is still cracking up when he's seeing this.
Pretty much Bert's death in general, particularly Roger's reaction to it. When it looks like Cutler is going to succeed in ousting Don from the firm, Roger has a heart-to-heart with Don, revealing his fear about losing everyone close to him.
Roger: ... now I'm going to lose you, too.
Don realizing during a phone call to Megan that their marriage is finally over.