Many, notably the fate of poor Ann Moray, who dies in the only episode in which she appears, after being mind-controlled into killing her father. The fact that it's heavily implied that Margaret was in love with her does not help. Nor does the music.
First off, Carossea discovers that he has been Dead All Along and disappears utterly. The kicker? His entire existence after his original death was based around a single goal: protecting his beloved Margaret Burton. But by discovering just this, he makes it impossible for such existence to continue.
The second bang is Vanessa, easily one of the most sympathetic anime characters ever, Taking the Bullet for Madlax... where there was absolutely no need at all. Only that she didn't know that Madlax is Immune to Bullets and genuinely hoped to protect her. The subsequent scene in Madlax's head where Vanessa bids her goodbye and reunites with her dead parents left This Troper sobbing uncontrollably. And the worst part? You can't even really blame Limelda for that (no, you can't): it was Vanessa's own choice to learn firearms and Madlax tried warning her to no avail.
The third shot, just to make sure you don't get up again comes with Plucky Girl and Ninja Maid Elenore fighting through all of Big Bad's defenses and getting lethally shot in the back, just to meet Margaret. Who doesn't recognize her because she's brainwashed by Monday. And subjects Elenore to Mind Rape. Which she withstands, making Margaret remember her, after all. And then dies of her wounds... Just let that sink in for a moment.
But the realTear Jerker comes in the very end. Just when you thought that Madlax sacrifices herself for the sake of Margaret's psychological integrity, Margaret reveals herself Wise Beyond Her Years and makes the only possible decision that leads away from the Downer Ending towards at least a Bittersweet one: splitting herself in three again, letting Madlax and Laetitia live their own lives, and even taking Laetitia in as her younger sister.This Troper nearly died of dehydration and had to be rescued by paramedics on the way to the hospital.