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Tear Jerker: Othello
The ending of Othello when Iago's wife comes in and tells Othello what really just happened. Say what you want about the play, that breaks the heart.
That scene is heartrending for just about everyone involved. Watching Emilia gradually realise that a) her friend is dead, b) Othello killed her, c) her own husband persuaded him to do so, and d) oh, and it's sort of her own fault too... breaks my heart every time.
Desdemona's final words, when they're left in. When given the opportunity to name her killer, she says it was herself. When put in context, it's a very Christian woman telling a lie on her deathbed, condemning her to hell because she still loves Othello too much to cause trouble for him.
In the times when they aren't left in the last thing she does before dying is caress Othello's face. It was both letting him know she still loved him even after all he did to her, as well as silently asking "Why?".