Aladdin, Alibaba, and Morgiana's past are all filled with horrible tragedies. Hakuryuu's past as well.
Cassim's entire life is one big old tear jerking moment. Then when him and Alibaba have their final show down we are shown just how much he hates himself and his mindset.
Alibaba holding the remains of Cassim.
The finale of the Balbadd arc, were everybody's deceased loved ones come to calm them down and stop them from continuing the cycle of hate. Some of the dead had even just died.
Princess Dunya's life, like Cassim's, is one long list of tragedies. Made worse because in spite of realizing the error of her ways and repenting she still dies a rather horrible death. The anime manages to make it even sadder.
Her funeral is just as bad.
The Great Holy Mother's death. While its debatable if she felt any genuine love for her "children", there's no doubt that they loved her. Her death nearly causes all of them to fall into depravity and get taken over by Black Rukh.
Mogamett's past. There is something extremely sad about a man who is so nice and genuinely loves his people, but is filled with so much hatred toward the Goi.
At the end of the Magnostadt Arc, Mogamett decides to stay with the Black Rukh of the Goi he turned into black Djinns to atone for his sins, then begs Aladdin to find away to save those who have died while fallen into depravity. Then there is Yamraiha having to see what becomes of her adoptive father.
Kougyoku does not know how naïve she is and truly believes that the Kou Empire and Sindria are close to co-existence. The truth is they have never been closer to war than they are now. She believes that the Kou Empire and her siblings finally acknowledge her as a warrior (citing Kouen bringing her to Balbadd as proof), but the truth is they still just plan on marrying her off to someone, Alibaba to be exact. She also believes that Sinbad is a good person who respects her as a fellow warrior, while in reality he's just manipulating her so she won't want to fight against Sindria and is using his Djinn Zepar to turn her into an unwitting spy against her loved ones.
The Alma Torran arc can be considered one big tearjerker; since not only do a lot of Solomon's friends and compatriots betray him in the end, but we know that the civil war between these one time friend results in the total extinction of the world.
Chapter 229 especially takes the cake towards the ending; where Falan just screams in terror and anguish after finding her son horribly burnt and whispering to her his last words before he passes on, as well as Ithnan finding Setta reduced to ashes, with nothing left of him but his staff. Shinobu Ohtaka, why so cruel?
Chapter 234, just... Chapter 234. The civil war begins and Arba kills Sheba. Before she dies, she hands the newborn Aladdin to Ugo and we see Sheba's regrets at not being there for her son. To top it all off, we are given a quick flash back of a young happy Sheba right before a close up of her dead face.
It's incredibly sad that Arba, a person who was basically like everyone's "kind older sister" ended up killing in cold blood someone who looked up to her as the closest thing she had to a mother.
Chapter 244: Hakuryuu and Judar know that what they're doing is wrong and that they could still find redemption and happiness. But that would mean letting go and forgiving all of the pain and misery they endured in their lives, and they're too full of anger and bitterness to do that.
Worse, it's shown through horrifying metaphor: Judar disembowels Aladdin with a spear and Hakuryuuu slashes his sister down on her other side.
Chapter 252: Alibaba thinks that he can talk reason with Hakuryuu in getting him to join in efforts against Al Thamen- because he still considers Hakuryuu a close friend. His expression when Hakuryuu declines is... heartbreaking. This is just like Cassim all over again; poor Alibaba realizes that he may just be too late to save yet another friend though he desperately tries to reach him through the depravity. And then... Hakuryuu denounces Alibaba as a hypocrite and announces that he will kill him.