Hikaru, Umi, and Fuu explaining why the vision they see in the Spring of Eterna are the ones most precious to them; Hikaru saw her dog, Hikari, Umi saw her parents, and Fuu saw herself.
Hikaru: He's one of my best friends! He was always right by my side whenever I had to cry! When I hurt myself he'd be there to comfort me. He can't speak to me in words, but we can understand each other just fine! He's one of my closest friends in the whole world!
Umi: These are my loving parents! They sheltered me with their love every day when i was growing up and I saved it up in my heart all this time! And I'm going to return all of it by taking care of them when they need me and grow old! I haven't had the chance to repay any of their kindness yet; there's no way I'd ever hurt my mother and father!
Fuu: I am extremely important to myself! If something were to happen to me, my father, my mother, my sister... everyone who loves me would feel the pain! I am still young yet, and have done nothing for those who love me, so at least I need to tell them I appreciate their love! That is all I can do at this point. That's why I am important to myself!
Presea's death in the anime also counts, regardless of which language it's presented in.
Even with all the Fridge Logic surrounding Presea's Back Up Twin Sierra, the scene in which she sadly talks to Mokona about her identity issues, her Unrequited Love for Clef and how she can't grieve for Presea is very depressing.
Ascot's reactions to the deaths of his summons may count. That he sheds those tears can't be faked.
The circumstance that causes Hikaru's weapon to evolve in episode 8 of the anime when she's forced to kill her new pet. Even the usual music used for the Theme Music Powerup takes on new meaning during that same scene.
You know what makes it worse? The beast actually hesitated because she had been so nice to it, but Ascot pushed it into trying to kill her anyway.
Episode 9 has Alcyone tricking Ascot into killing one of his monster friends, then freezing him solid.
Hikaru's flashbacks in episode 14 as she chases the monster that abducted Umi and Fuu.
Ferio's backstory and why he intentionally had his memories of being Emeraude's brother sealed.
The end of the first manga series/first season of the anime is heartwrenching. The girls are forced to kill Princess Emeraude, and she summoned them there to do exactly that. They can't take a third option.
Possibly worse in the manga, where it ends on Hikaru saying "It's not fair!"
It makes the prelude to it a tearjerker upon re-reading, or watching. Seeing the girls' joy and excitement after killing Zagato, thinking that they've completed their task and saved the world, and knowing what's about to happen is gutwrenching.
There's also the fact that this was the intended, final ending until enough fans complained.
The second season's own finale is even worse. Voice actors for all versions (including the original Japanese version) were reputedly driven to tears. If it can affect the cast like that, think about what it could do to the viewers...
While she didn't have many redeeming qualities in either the manga or anime, Alcyone's ultimate fate in the anime really makes a person feel sorry for her. First, she survives what happened in the first season only to be yet again rejected by Zagato, and then being both Brainwashed and Crazy and used as a puppet by Debonair. Then once she's freed of Debonair, her mind is so worn-out from all the abuse that she keeps mistaking Lantis for Zagato. Then to top it all off, she gets killed by Debonair once she's recovered enough to try a Heel-Face Turn, and she does so almost happily as she still voices out loud her undying love for Zagato. Wow, powerful Jerk Ass Woobie vibes there.