The death of Mona Sax at the end of Max Payne 2. Of course, you get extra motivation to complete the game on the hardest difficulty level and prevent it.
The deaths of his wife and infant daughter in the first game also count. Even worse, it becomes apparent that Max's last conversation with his wife; which he totally blew off, is not only the reason she's killed, but it was the very thing Max is trying to destroy in his downward spiral.
The death of Vinni Gognitti in the second game, considering what a pathetic state he was in.
It's minor, but in the second game, when you discover the equipment the Cleaners have been using to spy on Max and listen to the wiretapping logs, you discover that Max is so broken up about Mona's death in the first game that he literally calls phone sex lines just because there's a girl named Mona working for them. And he doesn't even want dirty talk, just the chance to talk to her.
The last line in the second game really gets to me: I had a dream of my wife. She was dead, but it was alright.
In the third game Max agonizing over not being able to prevent Rodrigo or Fabiana's death
"What have you been DOING?!". Max's genuine anguish at his discovery of what UFE's been up to is so heartfelt and despairing. But at the same time, it's reaffirming in an odd way. For all his apparent nihilism, at his core, Max is a good man, with solid morals. His agony is not only utterly heartbreaking but it really marks the moment where he stops just being swept along and decides to DO SOMETHING about it all.
Max in the flashback levels of 3 just seems so destitute and burnt out. He even says he loathes his existence so much that suicide is actually beneath him. Even after moving to Brazil, for a good while, he never seems to come out of his funk and a lot of the levels of the first part end with him swilling bottle after bottle of whiskey in anger. His is a deep and unsettling depression, quite possibly one of the darkest in gaming.
It makes the ending, when he manages to escape to a tropical island and orders a soda, that much more happy. He's a broken, scarred, aggrieved man...but he's working on that. Finally.
The soundtrack of the third game, particularly "Pills" and "+90". "Torture" also, given its tone of depressed nostalgia.