Bond's reaction at his wife Tracy's death. "We have all the time in the world..."
The original draft had them drive happily off into the sunset and then have her die in the pretitles of the next film. The way it turned out makes it even more stark.
It's even worse if you pay attention in later films, and realize she's the reason there's a different Bond girl every film (well, bar the financial boost of a new Ms Fan Service); he can't get over her.
What makes it even worse somehow is the way the soundtrack switches from a sad reprise of "We Have All the Time in the World" to this off-kilter, borderline manic version of the James Bond theme, and it just sounds really, really Not Right. All while focused on the lone bullet hole in the windshield...
To make the impact all the more shocking, the entire scene up until the final seconds takes place without any music. As the gun goes off and Bond suddenly sees that his new wife isn't speaking, it's completely silent. Nothing but Bond and his wife...
Perhaps the worst part is the very end when we hear Bond start to cry offscreen right before the credits roll.
I went into this knowing that she was going to die, so it didn't really shock me. Seeing James, the secret agent and Royal Navy officer who will never give up, go into flat out denial about her death... that really hit me.