Everything that happens on the roof during episode 9. EVERYTHING!
Vita line before attacking Nanoha and giving birth to Nanoha's Fan Nickname.
Vita: Don't you dare interfere. Just a little longer, and we'll be able to save her! Hayate will become lively and joyful... she'll return to us! We've been working so desperately! There's only a little left, so... DON'T INTERFERE!
The dialogue between Signum and Fate , when Signum starts to cry.
Signum: "Stop... We guardian knights decided we'd even throw away our honor to save our mistress' smile. You can't stop us!"
Hayate's Break the Cutie moment. She is a 9 year old girl who has been alone and crippled for a good chunk of her life. Then she gets a family in form of the Wolkenritter and they live happily for six months. She even makes some friends. Her condition is slowly getting worse (causing her a great deal of pain), but she doesn't care so long as she has her family. On Christmas Eve, she's teleported to the top of a building, only to see that two of her family members has been killed, and the other two disappear in front of her. What's worse, the culprits are her friends, who tell her that she's going to die. After going through that, it's a miracle that she didn't completely break.
The movie version is even worse. Seeing your closest family member killed right in front of you by two of your friends is bad enough, but what about watching your entire family get Impaled with Extreme Prejudice by the very thing that gave them to you?
The eyecatcher from episode 10 shows a picture of Hayate with the Wolkenritter who have just been absorbed into the Book of Darkness, and one of the deceased Clyde Harlaown with Lindy and a young Chrono, while appropriately sad music plays in the background.
Fate's time in the Book Of Darkness' dream world in episode 11. She knows it's all just a dream, but when it hits home that, in this world, she is truly loved by her mother Precia and has Alicia as the sweet older sister she never knew, she breaks down in tears. And then later, as she prepares to leave the dream-world to help save the day, she and Alicia share a heart-wrenching goodbye, Fate crying and apologizing as Alicia calmly fades away into light in her arms, her last words being of love to her sister.
Alicia: "It's all right. I'm your big sister, after all. Your strong and gentle friends are waiting for you, right? Then, take care... Fate... I wish... that we could've been like this in reality, too."
How does Fate know this she is an a Lotus-Eater Machine? Because this reality is too nice to her... where "too nice" means "having a regular childhood". If that doesn't drive the point home how awful Fate's life until then has been and make you weep, nothing will.
The movie version drives home just how much this is affecting Fate. In the original TV version, when she realizes this is the world she always wanted, she starts quietly crying and sniffling. In the film, once it sinks in she's inconsolably bawling her eyes out.
The eyecatch in episode 11: Fate and Alicia asleep. Cute and sad.
Reinforce sacrificing herself to break the Vicious Cycle in the last episode. As well as Hayate unexpectedly turning up and desperately trying to stop her.
Chapter 6 of the A's manga and it's animated version in The Movie 2nd A's. Hayate starts crying after remembering Reinforce, then tries to hold back the tears, calling herself a crybaby. Nanoha and Fate, in perfect unison, stand up and hug her from both sides, telling her that she doesn't have to pretend to be strong in this case.
The scene from the end of episode 3, where Bardiche and Raising Heart are throwing up error messages to the people trying to fix them, telling them they don't have the right parts. The missing parts they are referring to are named CVK-792, or the Belka Cartridge System that their enemies are using, which are incredibly dangerous in the first place, but are more so for devices that have not been designed with that system in mind. The episode ends with a rather tense and melancholy BGM, with the word PLEASE written across the center of the screen in large print in the devices distinctive rune-script.
A retroactive example; the fate of Chrono's father elaborated on this season turns his speech to Precia in the first season about how the world is always filled with things that should never have been into an invitation to Manly Tears; he speaks to Precia from experience.