Brooke's distress at not knowing if any of her friends are still alive.
Jimmy talking about the moment he realised nobody at Tree Hill High noticed when he was off school for 3 weeks after overdosing on anti-depressants.
Mouth's reaction to Jimmy being the shooter. He spends the entire episode guilt-stricken and crying very believable tears.
Keith trying to talk Jimmy down, only to helplessly watch as the troubled teen turns the gun on himself, swiftly followed by Keith's death.
Episode 3x17, "Who Will Survive, And What Will Be Left Of Them"
Jimmy's funeral, especially when the viewer realises that the only people to show up are Jimmy's mother, Mouth, Junk, Fergie, Skills & Lucas.
Episode 4x10, Songs To Love And Die By"
The return of Keith Scott as Lucas's guide.
The various instances of how life would have changed if Lucas was a lesser person than he is, particularly Peyton being dead because Lucas didn't go into the school & rescue her during the school shooting.
Lucas being shown that if he doesn't go back, then Peyton will never get past his death & will grieve for him the rest of her life.
Nathan's helpless pleading with the unconcious Haley to give him a sign she can hear him.
Episode 5x05. "I Forgot To Remember To Forget"
The Reveal that the reason Peyton & Lucas aren't together following the Time Skip is that Lucas proposed, but Peyton didn't want to get married yet. Lucas left during the night, ending his relationship with Peyton & not seeing her again until she returned to Tree Hill.
Episode 6x03, "Get Cape. Wear Cape. Fly."
The episode in general is just horribly depressing: it involves the funeral of Quentin Fields, who has been shot and killed. Just try not to cry when Nathan and Haley have to tell Jamie, who was close to Q.
Episode 6x24 "Remember Me As A Time Of Day"
Lucas having to parent Sawyer alone while Peyton is in a coma, & telling Peyton that he couldn't raise Saywer without her, and they don't even have a name for her yet.
Episode 7x07, "I And Love And You"
The Reveal that Clay's wife Sara is really dead, and that she is just an imagining of Clay's. Hokey, but depressing as all hell.
Episode 7x16, "My Attendance is Bad But My Intentions Are Good"
Taylor freaking out after being told that Lydia is going to die of pancreatic cancer.
Episode 7x18, "The Last Day of Our Acquaintance"
Lydia James dies of pancreatic cancer.
Episode 8x11, "Darkness on the Edge of Town"
A hurricane-esque storm rips through Tree Hill and Jamie, his teacher, and some classmates are in an accident, when they're found by Brooke. She manages to get the teacher and two classmates out okay, but still has to stay behind to get Jamie. Eventually, the car is tipped over the side of the bridge and into the river, when the levee breaks. Julian, Brooke's fiance, is trying desperately to get her out, until Brooke finally tells him to get Jamie out instead. "He's just a boy! And he loves you, and so do I!" He does, but this nearly kills Brooke, and he's forced to do CPR on her. What makes it worse is that Sophia Bush and Austin Nichols were together in real life at the time, which means it must have been hell to act.
Episode 9x07, "Last Known Surroundings"
Not wanting her children to know that their father was kidnapped, Haley asked Lucas to pick them up and have them stay with his family for a while. Before Haley leaves the airport, Jamie, being fully aware that there is a problem, tried to be strong and calmly told his mother that everything's going to be okay. Once Haley left, Jamie finally breaks down and hugged Lucas.
Episode 9x11, "Danny Boy"
The death of Dan Scott. It made people who hardly ever cry while watching tear up several times throughout the episode.
Keith and Dan's literal Dead Person Conversation is this to the max. People probably started sobbing already the moment Keith showed up.