The girl's design was based on a story in a pre-code horror comic, trust me that was a real tear jerker.
She shows up again in the sequel by sneaking into Sheldon's hospital room.
The death of Gwen Stacy from an entirely different angle. It's not less painful than the original story.
The Death of Captain Marvel. Mar-Vell telling his lover, Elysius, that's he's dying without dialogue. When the Skrull general salutes Mar-Vell as an honorable enemy, even while his own people, the Kree, reject him. And finally, when Thanos comes to reconcile him to death.
Silver Surfer: Requiem. The story of the four-part "what-if" focused on the Silver Surfer as he discovered he was slowly dying because the power that Galactus gave him started wearing off. It's a wonderfully touching series, with a tear-jerker happening at least once in each and every issue:
Issue 1: The Surfer discovers that he is dying, with Reed Richards breaking the news to him.
Issue 2: Spider-Man, the last person he encounters before beginning his journey home to Zenn-La, convinces the Surfer to unleash the Power Cosmic long enough to give the world a glimpse of the same freedom and peace he's experienced thanks to the same power.
The only thing he ever wanted was to bring peace to the world. And for five minutes, he did just that.
Issue 3: On his trip back to his homeworld, the Surfer becomes stuck in the middle of an interplanetary war that had been waged for generations, with both sides' leaders now simply perpetuating the battle for their own gain. Norrin disables the ability of the two sides' fleets to make war, then shows both sides the truth of their situation. His intervention results in the end of the war and a peace between both worlds.
"If sacred places are spared the ravages of war, then make all places sacred. And if the holy people are to be kept harmless from war, then make all peoples holy."
Issue 4: Norrid Radd returns to Zenn-La to face his fate, and Galactus - who returns to offer the Surfer a chance to live, which Norrin rejects - tells him that no harm will ever come to Zenn-La, respecting the final wish of "the most honorable being I have ever known". After the Surfer passes away and the planet has mourned his loss, Galactus sends his remains into deep space and creates a new star using his power, one which would remind Zenn-La "not so much of his sacrifices, not so much for what he lost, as what he gave."
The death of the Avengers villain Black Knight. On his deathbed Nathan Garrett laments that he wasted his life and his intellect by turning to a life of crime and asks Dane Whitman, his nephew and the only person who ever meant anything to him, to use his technology for good so that the world will one day remember the Black Knight as a benefactor to mankind. Dane accepts.
When the Irredeemable Ant-Man tells the mother of his child that he can't be involved in its life, as well as the whole exchange with the empath he falls in love with. That final speech where he admits his failings and promises that he will honestly try to change, even as it becomes apparent that he probably can't and never will.
The Punisher MAX series has more than a few emotionally hard-hitting moments, such as the final couple of panels of "The Slavers" in which we learn that, despite Frank killing the titular slavers and Viorica being able to assume the closest thing to a decent living in New York, the scars from her mistreatment and the killing of her baby will never fade away. Also, the end of the fifth issue of "The Man of Stone" arc, where O'Brien dies in Frank's arms, asking only that he kill Rawlins for her, and to stay with her so she wouldn't die alone.
The last issue of perpetually B-list Marvel hero Quasar's solo series. Thanks to various cosmic events, his girlfriend has been sealed away on an alternate Earth that she can never leave and he can never visit (as ordained by The Living Tribunal, essentially God's personal representative). His security company is on the verge of collapse. And one of his nastier villains escapes his other-dimensional imprisonment and threatens everyone he loves, causing Quasar to pull a Faking the Dead to his friends and family, and self-exile from Earth. Specifics change, but his overall happy level has barely fluctuated much from this degree of suck right to the present day.
In the last issue of the mini-series The Thanos Imperative we have Mistress Death walk silently away from a distraught Thanos, who has just destroyed a whole universe to please her and prove to her that he loves her. As she walks away, a human-faced Death sheds a tear, as she knows that he will forever be kept alive and never be hers to love. Something about Gods and such never being able to love is especially sad.
This builds on Taskmaster's miniseries in which his origin is revealed. He was just a normal SHIELD agent who underwent a procedure to be able to mimic the fighting styles of anyone. Unfortunately, this had the side effect of making him lose his memories over time. Even worse, his wife (likely Finesse's mother) continues to operate as Taskmaster's handler in the hopes of keeping him from doing anything too evil (and reporting information he gathers to SHIELD to help protect him). Because even if he can't remember her, she still loves him (and, when he regained his memory of her briefly, he still loved her). The real tearjerker: The reason Taskmaster is a villain is because, while he can't remember it, he still feels horrible guilt over forgetting his wife because one of her earliest memories is being abandoned by her parents. This, along with Taskmaster's role in Initiative and Agent X largely make him one of the biggest woobies in the Marvel Universe.
Captain America discovering that Bucky is alive, but that he's the Winter Soldier. When he calls out to him and the Winter Soldier asks who Bucky is, and then when Steve restores his memories and Bucky remembers everything that he's done—and he tells Steve that he should have killed him instead.
It's probably best summed up by a quote by Ed Brubaker:
Cap still lost. If I was going to take away the tragedy of Bucky being killed in action, I had to replace it with something worse. Cap couldn’t save Bucky and because he couldn’t, Bucky became his own worst nightmare. And then in trying to save Bucky again — by giving him his memories back — Cap tortures Bucky by making him realize everything he did as the Winter Soldier too. Bucky is such a great tragic character and that tragedy has different sides to it now."
One issue of Punisher War Journal double whammies, especially with the last pages if you hadn't heard of what happened. The entire story isn't about Frank Castle, but about a normal joe named Ian, whose apparently a member of the NYPD. A supervillain ends up causing a ruckus and Ian holds him at gunpoint, ready to take him down. However, as the story progresses, you come to find out why he became a cop and why he was here now: he became a cop following the 9/11 attacks, but he wasn't a full cop, just an auxillary one. However, everything fell apart when his family had been killed in the Stamford incident and was let go. He put on the uniform and patrolled New York City not out of duty, but because it was all he could do to keep himself sane. When the Punisher shows up, giving the cops the opportunity to take down the villain, Castle goes to walk away, only to look up and see the death of Captain America. Just his stunned reaction to it - No. Not him. "No..." - is enough to see that the man has some great Hidden Depths and even he can be shaken by something like that.
Maria Hill's backstory, as revealed in Invincible Iron Man. Her mother died either during or shortly after her birth, her father hated her for it, and she grew up with everyone telling her that she was terrible, from her childhood, to being kicked out of high school, to when she was in the Marines, to when Fury was yelling at her. On top of this, she's shown being treated badly by the S.H.I.E.L.D. agents around her, with one saying "so long, sweet cheeks" and her narration says that she can't resist slapping back once more. Is it any surprise that Maria's first instinct is usually to attack people? She's spent her entire life being hated for things as simple as being alive and being a woman?
Even worse—we see a photograph of Maria's desk when she's clearing it out - it's of her shaking Fury's hand. This implies that she used to look up to Fury, but in another issue where he broke into the Helicarrier to warn her about the Skrulls, he didn't even remember meeting her before.
There was one 9/11 short that was particularly memorable for being tragic and heartwarming at the same time. Basically, both well known heroes and villains (magneto, Dr. Doom etc.) put aside their differences to help clear the rubble and help search for bodies. One particular scene has a closeup of Dr. Doom's mask, showing us that he's CRYING.
Mariko's death and Morph asking the Timebroker to let him stay on the team even when he's allowed to go back to his original reality, which we've seen is pretty nice.
Mimic's death at the hands of Proteus, dying like a dog being mocked until his last moment, and Blink trying to save him, trying to believe he's somehow still alive even as other characters spell it out explicitly. That arc ended on a major Downer Ending, especially after what happened to Morph.
In Powers: Bureau, Deena and her then-partner get some Powers semen spilled on them. He ends up dying as a mutant Enfant Terrible rips out of his gut, but Deena is cleared by a doctor. But when she and Walker later catch the guy who was dealing the stuff, he spooks Deena into going back and seeing the doctor again. So she does, and is very surprised to find out that she's now pregnant. She doesn't tell anyone, but when she's later physically attacked by another Power a few weeks later, she ends up losing the baby. Christian takes her home and asks why she didn't tell him she was pregnant, and risk dying like her former partner, and she replies "Because... I really wanted it." The issue closes with Deena, who's rarely shed a tear throughout the series, crying into her pillow as Christian tries to comfort her.
After Liz and Winter both leave Miracleman, Mike "commits suicide" by never changing back from Miracleman.
During the fight with Kid Miracleman, Miracleman realises that the only way to stop him for good is to kill him. He does by waiting for Kid Miracleman to transform back into Jonathan, and then snaps his neck.