The Christmas Special, where Orel's parents split up. Especially the end: " There's still two minutes left in today. I know you can make this the best Christmas ever. I have faith in you!" Never has a Hope Spot been so depressing.
"Nature", the two-parter in which the series started to show some stubble, features Clay taking Orel out on a hunting trip, pressuring him to kill an animal, and ultimately getting drunk, crying, and shooting his son in the leg. There's a shot that shows two days passing before Clay comes to and drives Orel home.
At one point in the speech Clay gives before shooting Orel, he removes his belt and accidentally drops his pants, which is the show's Running Gag. He's too drunk to put them back on properly and simply falls down, smashing his tent, curls up in to the fetal position half-naked, and breaks into tears. In front of his own son. It's not Played for Laughs.
The fact that Orel never completely heals from the gunshot wound; he has the limp all his life. This may have been averted if his parents had taken him to a competent doctor, rather than one who would simply keep his mouth shut.
Or if Clay hadn't waited two days to drive him to the hospital.
There is one line in particular: "It's because you become a bad person when you drink!" Just the way Orel loses his composure, and his voice breaks and he's visibly on the verge of crying...
"I hate you." The tone in his voice is simply chilling.
"Dumb", wherein Joe beats his senile father's face in for thinking the mother of his child was dead.
"Passing", which is about Clay's Start of Darkness. We learn that his mother coddles him because she had multiple miscarriages due to her excessive drinking and smoking. When Clay fakes suicide as a practical joke, his mother has a heart attack and dies. Clay's father threatens to beat him, but tells him he's not even worth it. From there, Clay associates physical abuse with worth, and constantly reminds him of his dead wife to get attention.
This one's made even worse by the fact that his mother convinced herself that God had answered her prayer to "take me and not him".
"Sacrifice", in which Clay attempts to start a bar fight by spewing misogynistic hate and reminding Doctor Potterswheel about how he accidentally killed his wife. When he only succeeds in driving everyone away from him without a punch being thrown, he breaks down in the empty bar and cries.
Considering that Clay as a child associates being abused with love and his crappy marriage, his attempt to start that bar fight may have been a genuine attempt to gain some affection, something sorely lacking in his own marriage. From that perspective, it's really quite twisted.
"Help" is the other half of Clay's Start of Darkness. It is revealed that Clay actually had the chance to live a normal life, but Bloberta pressured him to turn to alcohol so he'd marry her.
The ending of "Numb" may be the most tearjerking depiction of a failing marriage in the history of television. See for yourself.
The rest of the episode is about Bloberta deliberately tearing apart her genitals to seduce a doctor with a gore fetish. Made even darker when the viewer learns the doctor's wife may have died doing the same thing.
Not to mention how depressing the song "No Children" is in the first place...
Clay promising to pass Ol' Gunny on to his child, and then refusing to do so.
"Love", while one of the "silly" episodes, is about how the town of Moralton convinces Orel to put down his dog, mostly because the town found him annoying. It's a real Shoot the Dog moment for much of the cast.
"Grounded", in which Orel tries to kill himself multiple times in an attempt to meet God. What follows is a near-death dream sequence with some of the most intense imagery ever to appear on Adult Swim, including Church!Orel rocking regular Orel back and forth in his arms, Bartholomew, and even the hunting trip which hadn't even happened yet chronologically. The real tearjerker, though, comes from when Orel tries to tell of what he saw of Heaven, and Clay tries to whip it out of him for the sake of keeping the religious status quo; with each strike, the image of Oral as a church gradually recedes until it's just a regular church. Clay literally beat Orel's revelation out of him.
* Fuck it, Season 3 in general. It's been compared to Neon Genesis Evangelion in terms of bleakness. Sadly, while Evangelion is purely fictional, the horrible events of Moral Orel happen in real life constantly. The season's highlights include:
"Alone", which observes three unrelated victims of sexual abuse alone in their apartments: Nurse Bendy, who has mentally regressed to a child and plays with her teddy bears to cover up the fact that she hates herself for letting men sexually use her (made all the more jarring when a teddy bear falls on her in a suggestive position and she freaks out, thinking the bear wants her for sex too); Miss Sculptham, who is in love with her rapist and (as heavily implied by the bloody coat hanger she keeps around) aborted the unborn child that was conceived from the rape; and Miss Censordoll, whose obsession with chicken eggs (as seen in an earlier episode) stems from the fact that her mother had her sexual organs surgically removed when she was an infant, which has deluded Miss Censordoll into believing that she is God.
The ending of "Sundays". Reverend Putty, himself in an awful mood, looks around at the congregation for inspiration for his sermon (entitled "Hope"). The townspeople are all depressed, due to their own lives being in shambles; in desperation, Putty looks for the one person he can rely on to always be cheerful and optimistic: Orel. However, when Putty finds Orel in the crowd, he discovers Orel in a similar state, his leg in a cast due to the hunting accident. Defeated, Putty changes the title of the sermon from "Hope" to "Hopeless".
This is turned around completely in the next episode, however. Putty gives a long sermon about how while things may seem hopeless, you should never despair, because God is with you even then and will always look after you. Orel is brought out of his funk and returns to his cheerful ways.
Clay, as a child, deliberately antagonizing his father in order to provoke an abusive response, as it's the only type of attention he can get from him. Set to the tune of "Love, Love, Love" by The Mountain Goats.
In that same episode: Clay's father introduces Clay to "Ol' Gunny", a revolver that, Clay's father explains, has for years been handed down from the head of the Puppington household to the eldest son. Clay's father, disgusted with his son, informs Clay that this is the end of the tradition; there will be no coming-of-age hunting trip for the two. Alone, Clay says to the pistol, "Don't worry, Ol' Gunny. I'll keep the tradition going." Cut to years later, when an aged Clay considers giving Ol' Gunny to his son... but doesn't.
The ending of "Numb". Clay and Bloberta lie in their respective beds, considering their broken marriage, as The Mountain Goats' "No Children" plays. (See Crowning Music of Awesome above.)
The ending of "Sacrifice". Having driven all his friends to hating him, Clay spends his time in the bar getting drunk, not going to church, work, or even home to see his family on Easter.
Especially sad as Clay misses his (okay, Daniel's) son's first complete sentence.
Shapey: When I'm thirsty, it feels how I feel when I'm alone.
Bloberta's reaction to Shapey is quite sad, while he's trying to grab her attention she's trashing the kitchen looking for the handkerchief that Dr. Potterswheel gave her, and tries to blindly push him away with, "Not now, Shapey." Only to stop in her tracks in shock at what Shapey said, ending the scene looking remorseful.
In the episode "Honor", Clay, whom we manically flip between loathing entirely and feeling sorry for, finally snaps and comes out of the closet in front of his entire family, confessing his love to his best friend who coldly rejects him, having come over the course of the episode to realize what a monster Clay is. While it's one of the most heartwarming episodes of the series as far as wrapping everything up (tearjerking in its own right), it serves as the final nail in Clay's coffin. If we can judge by the pictures on the walls of adult!Orel's house, Clay pretty much lives and dies alone and unloved by anybody except out of obligation.
Beforel Orel's depiction of Orel losing his rationality in favor of blind faith is profoundly depressing, even if he doesn't end up corrupted by the town's problems.
It goes double if the watcher has been raised in a similar corrupt church (and I stress 'church' not religion) or has known someone raised in one. Kinda sinks in how much of a bullet you dodged, doesn't it?
Whatever you may feel about Clay, but it's hard not to feel sorry for him in Beforel Orel when he cries in the pub as he realizes that he never touched Bloberta and could never have conceived Shapey with her.
Same thing happened to Clay when confronts his father while breaking into tears in front of the latter. Arthur realizedhow his shunning towards his son resulted. But the true dagger to Arthur's (and the audience's) heart is that Clay refuses to reconcile and told Orel not to trust Arthur out of spite.
Beforel Orel ends with Orel's first belting. To make it worse, he was so excited to see Clay's study for the first time.