My God, you just can't control yourself when you see his face as he stares at Roxanne. That sad and lost frown like he would be a kicked puppy whimpering in a corner, those huge green eyes that basically scream "I'm sorry" while glinting as he would burst into tears at any second. But what really makes it the most depressing moment ever is this:
Roxanne: Did you think that I would ever be with you?
Megamind: (heartbroken whisper): No.
There's a more subtle point in there, too: when Megamind jumps out of the car and Roxxie turns to walk away, he calls out "I can explain!" Roxxie doesn't say anything, but we're still treated to her line of thought - as the camera follows her, in the background one of Megamind's campaign parody posters comes into view, specifically the bottom half of it. "No, you can't."
The look on Megamind's face when Roxanne hugs him while he's disguised as Bernard. Certainly the first time he's ever been hugged in his life.
The way Megamind reacts to finding out Metroman is still alive is pretty sad. His face...
There's the time Minion leaves just before Megamind goes on his doomed date. Then, he goes on his date and you think "Well, at least he's happy now." WRONG! And he goes back to his lair and attempts to find comfort in Minion... who isn't there. Seriously, could they have made that bit any more tearjerking?
First was right after Minion and Megamind have their fight. Megamind walks miserably to a broken mirror and changes into Bernard with a heartbreaking smile on his face.
Second was when he was disguised as Metroman. Roxanne holds his hand and he just looks so nervous about changing back, you wanna give the poor blue alien a hug.
The opening sequence definitely qualified- not just his repeated attempts at acceptance from his peers, but in the voiceover, just how much he sounds like he's trying to convince himself that he enjoys what he does.
Let us examine the opening scene a little more closely. Two planets are sucked into a black hole. Two babies, one from each planet, are sent away. Apparently, both were heading for the mansion... but Metro Man's pod pushed Megamind's out of the way, causing the latter to land in prison. Sure, Megamind had his own loving family, and the Warden (revealed in a later scene) was almost like a father figure for him. And let's face it, Megs probably would have turned out all right... if he hadn't gone to school. Those kids never gave him a chance. Metro Man, the supposed hero, never gave him a chance. Heck, even the teacher picked on him! Had these kids been nicer to Megs, the entire plot of the movie could have been avoided, and Megs could have lived a happier life. Realizing this... it's impossible for your heart not to break.
"It's too bad we didn't go to the same school." Definitely too bad. Considering Roxanne's sense of justice and insistence that you don't judge people by what they look like, had she been at that school, she could have saved him.
The simple fact that Megamind's parents, knowing they wouldn't be there for their son, gave him a protector and companion to accompany him to Earth. Even Superman's parents didn't think to do that.
"I'm a bad guy! I don't save the day, I don't fly off into the sunset, and I don't get the girl!"
Minion's death. Except he didn't.
Discovering that Metro Man was a Stepford Smiler behind his superhero persona, feeling trapped in his role of The Cape by the expectations of the world around him.
A small moment, but how about right before Megamind takes on the persona of Bernard. Roxanne finds someone [Megamind] there and calls out. Megamind starts to panic and worriedly looks down at his pajamas. This brief moment shows how truly insecure Megamind is to the point that he would pretend to be someone else just so his dream girl won't be reproached by him.
Admittedly, it could just be because here he is, Megamind, at Metro Man's monument, and here, Roxanne is about to find him trying to blow it up.