The ending of episode 15, after Alyssa is shot to death and passes away in Miyu's arms, and then Miyu takes her corpse and seals herself in a lake in despair. The choice of ending music for this episode doesn't help at all.
The scene shortly before where Takumi decides he won't go to America for a possibly life-changing but very expensive operation because he knows how much of a burden he is to his sister — unaware that she's listening.
Episode 23, with a defeated Midori staring into the distance after basically sacrificing the man she adores to preserve what might or might not be a chance for someone else to live. "I'm sorry, Professor, but you would be proud... right?"
Takumi's apparent death in the manga, particularly his sister Mai's reaction. He gets better... but then things get much worse.
Episodes 24 and 25, where Yuuichi dies in a way that seems so coldly logical when you see it and still manages to die with a smile on his lips, and where Natsuki and Shizuru kill each other in an inevitable double-KO both saw coming. There is also the part late in the episode where Mai reads all the names of the people who lost their loved ones in the conflict, a list that includes some of her friends. And then Shizuru and Natsuki are added to that list.
Even if Akane losing Kazuya leaves you too stunned for tears, the following events are utterly heart-wrenching: No-one knows what happened, they think Akane and Kazuya just eloped, and the high school comedy continues as normal. Then, when we finally see what happened to Akane after that scene....
Nao's definitive defeat at the hands of Shizuru is even more tear-jerking. Specially when Nao has an Heroic BSOD, starts crying and screaming for her Missing Mom, who spent several years comatose and was killed when Shizuru killed her CHILD.
Haruka's death and the flashback to her and Yukino's childhood.
The final episode jerks tears of the happy variety, as everyone lost is resurrected.