This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Magi – Labyrinth of Magic
Aladdin, Alibaba, and Morgiana's past are all filled with horrible tragedies.
Hakuryuu's past might just take the cake. He lost his brothers, whom he admired and loved deeply, to his mother, who wanted to destroy anyone who would serve as an obstacle in her taking the throne. And since he also loved his mother, he asked her to tell him that she was not responsible. Her unrepentant answer, added with the mockery of him being helpless to do anything about it, led him onto a quest of revenge that lasted for years.
Cassim's entire life is one big old tear jerking moment. Then when he and Alibaba have their final showdown we are shown just how much he hates himself and his mindset.
Kassim truly believes that he is nothing more than trash, just because he was born in the slums to an abusive Alcoholic Parent. This is not helped at all by his envy and resentment of Alibaba, who is everything he wants to be. Every single thing he does comes back to his desire to find a way to prove that he's not what he thinks he is.
Kassim: Anyone should be able to become something great! Anyone!
In a flashback, we see that Kassim and Mariam's father was planning to force Mariam into child prostitution to get his alcohol money. When Kassim finds out, he stabs his father in the gut in rage. But even though the bastard had it coming, the second he realizes what he just did, he looks utterly horrified. He's shown immediately throwing the knife in the river and desperately trying to wash the blood off his hands. And this when he can't be any older than thirteen.
In the flashback immediately following that one (which presumably takes place after that kill), look at the poor kid's eyes. They look so...dead.
Everything involving Alibaba and Kassim becomes even worse when you keep in mind that they are, for all intents and purposes, not only close friends but adoptive brothers.
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.
In episode 23, when Dunya stabs herself to transform into a Dark Djinn, Alibaba is horrified and has a flashback to Kassim doing the same thing.
Alibaba: Stop...Stop, Kassim!
Taking the above entry into account, Alibaba watched his own brother stab himself in the heart with a broken sword, and couldn't do anything to stop him.
Alibaba's reaction to Kassim's death is played similarly to the Elric brothers' reaction to Nina's death in Fullmetal Alchemist. It's not something he constantly angsts over, but something he was deeply traumatized by and will never get over.
The Great Holy Mother's death. It's less of the fact that she died and more on how her children were grief-stricken over it. While it's 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.
Scheherazade's Mama Bear rage against the Dark Djinns after she realizes they are sapping strength from the dead Titus' magoi.
Titus: I am not Lady Scheherazade! I was once a clone…But even the small time I have lived has been more than sufficient to show me the truth! That I'm a living, breathing human being! And I wont go back! I'm a part of something...I've made dear friends who'd do anything for me!
Muu: Glad you made some friends, adorable. You should know that doesn't mean anything.
Titus: You liar!
Muu: You say you know the truth, then stop denying it. It's their inside of you, just look at yourself. You must have courage to embrace were your from. Those false friends could never understand your fate!
Titus: That's...not. You don't know what your talking about! We're like family.
Muu: You still don't get it do you? Your not human…you are a monster! You're an abomination that never should have been born in the first place!
Titus: (collapses to the ground, utterly broken)
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?
Worse, Falan is a magician extremely skilled with life magic, who watches helplessly as her only child dies in her arms.
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 Hakuryuu slashes his sister down on her other side.
Even worse, that anger and hatred is the only driving force in both of their lives. They believe that if they let go of it, they will have nothing left.
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.
Chapter 258: The fighting between the two comes to a tipping point and ends with Alibaba's spirit cleaved from his body, leaving him an empty shell, while Hakuryuu lost both of his legs.
Chapter 261: Aladdin ejected Judar off the planet using a spell that constantly applies a fixed value of force. It'll never stop, meaning he'll never return to the planet, and Aladdin can't reverse it. He's essentially killed off someone he wanted to be friends with and lost Alibaba as well.
Chapters 261-263: Aladdin is going through the wringer after the epic fight. He's had to effectively kill Judar, Alibaba is comatose, Hakuryuu has fallen into depravity, and Kouen is going to continue the civil war within the Kou Empire. The world is falling to war.
Chapter 264: Aladdin realizing the sad fact that Alibaba's soul may not come back to his body and that he may stay as an empty shell forever.
All Aladdin can do is cry - and the reader remembers that throughout this story Aladdin is only a child.
Chapter 265: Morgiana makes it to Yunan's home at the edge of the world, only to find that there is no way that Alibaba's soul would be there. Yunan then notices that her household vessel is fading in power and flies her back, only for her to arrive for Alibaba's funeral. Her expression is heartbreaking.
The conclusion of Kou Empire Arc. Kouen's execution and the heartfelt conversation between him and Hakuryuu the night before he got executed. And the fact that Kouen remains calm during the whole ordeal, even trying to reconcile with Hakuryuu and using Phenex's power one last time to regrow Hakuryuu's limbs at the expense of his own.
While funny due to the style it was drawn as, the whole thought of Kouha's backstory with his mother in this Omake is quiet heart-wrenching and had hints of Adult Fear.
The latest chapters show that Arba's consciousness has possessed Hakuei, which is heartbreaking considering how Hakuei was a kind and idealistic person who wished for peace. This is also heartbreaking for Hakuryuu if you think about it, since when he sought revenge against Al-Thamen, it was not just to avenge his brothers, but it was also to protect her. And he failed doing the latter. Now imagine if he realizes just what happened to Hakuei; he might fall into depravity a second time.
The state of the Kou Empire after 3 years have passed is just depressing. Because of the reformations removing armies and slavery, two things that supported the country, and made it so that people who could create and sell things would earn wealth, the entire thing collapsed onto itself despite Hakuryuu's efforts. Because no army existed they couldn't keep people safe, and because the slaves and commoners didn't have any skills they couldn't earn money, on top of that, by unifying everything there was no tourist attraction and the immigration laws meant people could move away.
Sinbads death. Even after having his Djinn equips destroyed, even after having his hands destroyed and his face burned away he still tries to reach the Palace. After Ugo confirms to Sinbad that the "dream" is now over and thanks Sinbad for what he has done for the world, the latter's Rukh momentarily takes on his likeness and he can be seen smiling. Ugo finally separates his light Rukh from the dark and prepares to send Sinbad to reincarnate somewhere, sometime.
Chapter 234 has Ugo tell Arba that ever since he's been cooped up in the Sacred Palace, he's felt like he's lived for eons since no time passes there. And with all of that time, he's been terribly lonely and really misses Aladdin.