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Tear Jerker: Mythical Detective Loki Ragnarok
Mythical Detective Loki Ragnarok: in the fourth-episode flashback, chibi!Mayura wanders, apparently at random, through the city, until she finds a "House of Jack and the Beanstalk" at an amusement park, and starts to climb through it. She's almost at the end when we see that it's under renovation, and the way to the exit has fallen apart. She tries to reach it, falls, and bursts into tears. The reason? Her mom used to bring her there and meet her at the exit, and she thinks if she can just get to the end of the ride, she'll see her again.
Heimdall's death in episode 21.
Hel dying with her family all around her in episode 26.