The ending, when Zero makes his Heroic Sacrifice, we see Ciel break down crying all the way through the closing credits. At last she tells him, wherever he is, that she'll follow his example and make the world a better place. "Just come back someday...I...I believe in you!" Cut to Zero's shattered helmet amid the wreckage of the Ragnarok satellite — he's not coming back, folks. Absolutely brutal.
Not to mention that Zero dies aboard the Ragnarok satellite as it falls towards the Earth, and the player sees lots of shooting stars falling as Ciel cries. Yes, that's right, the player is watching Zero and remnants of Ragnarok burn up on re-entry as they see Ciel cries her eyes out.
Don't forget about the Guardians of Neo Arcadia, who sacrifice themselves to give you the opportunty to destroy Omega.
Nor about Elpizo destroying X's body. You get a close-up of Zero's face as he could only watch helplessly as the last thing keeping his best friend alive explodes before his very eyes.
X's final goodbye to Zero at the end of Mega Man Zero 3. Not only will the sad ambience of it all really tug at you, but the fact that X won't be around to see the peace he and Zero fought long and hard for is made blatantly apparent here.
The song, "I, 0, Your Fellow" that plays during that exchange, which really hammers the sadness of the moment home. The remix on the official album is even more of a Tear Jerker.
Before that, there was Zero's own goodbye after the Elf Wars' over; he was going to seal himself before X comes in. The poignant talk - and, in the end, X's anguished scream - makes it all sadder. Watch it here.
The Japan-only (prior to Collection) vocal intro to the Zero 4 credits theme "Promise -Next New World-" translates as follows:
Always overflowing in my heart, My feelings for you. There is no forever, so I want you by my side for now.
Accompanying Ciel crying alone under a tree, as the song becomes entirely instrumental. Bittersweet Ending indeed...
And after that, she believes that Zero is still out there, and will be waiting for him to come back. What comes next? Zero's broken helmet lying in the desert, indicating he's been Killed Off for Real.
X: "Since you've disappeared I've been fighting this war alone against an uncountable number of Mavericks for nearly a hundred years... Battle after battle...so painful and so sad...but the hardest part was when I discovered that I no longer cared about fighting enemies the enemies I fought..."
What makes it worse is that it's X we're talking about.
There's also Alouette. Zero's last (optional) conversation with her has the girl extract a promise from Zero that the three of them (including Ciel) should someday explore Area Zero together. Oh, and if her dialogue as Prairie is taken into consideration, it might imply that she's fallen for Zero herself (seeing as she had feelings for Giro, Zero's Expy, because she herself stated that the man reminded her of Zero.