This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Pan's Labyrinth
The ending is supposedly happy, with Ofelia being reunited with her real parents (the rulers of the underworld)... by dying. Mercedes holding her dead body while singing a lullaby is just icing on the tearcakes.
Of course, it could be worse, since there's another way to interpret the ending. No one but Ofelia ever saw any of the magic, so it could be that she made the whole thing up in her head to deal with her horrible situation, and the "reuniting" is just her final, dying hallucination. But that puts the whole thing squarely in Downer Ending territory.
Let's be honest here - just thinking of Mercedes' hummed nursery rhyme is enough to get a person who's seen the movie teary-eyed.
Which ties into a Harsher in Hindsight - Ofelia's death scene is sad enough, but earlier in the movie, she'd begged Mercedes to take her along when she fled, which she finally did. But when trying to dissuade Ofelia, Mercedes had promised to come back for her. Now she finds the girl bleeding out, beyond all help, and all she can do to ease her passing is hum a lullaby until she dies.
Ties in with Nightmare Fuel, but the sound effects that surround the Pale Man: they evoke his victim's screams.
The scene in which Vidal beats a man to near death with a blunt object while the man's father is forced to watch, leaving him alive long enough to see his father shot down before him, and then finishing him off. And it turns out the father and son actually were only hunting rabbits, making their deaths completely unnecessary. Even with the Nightmare Fuel of the situation, someone witnessing a beloved family member be brutalized in such a horrific way and being powerless to stop it is absolutely heartbreaking. The father's weeping and subsequent death just puts the icing on the cake.
Dr. Ferreiro's death ia particularly sobering. Especially for how understated it is. After granting a mercy kill to a tortured prisoner, he quite plainly knew the captain was going to kill him. His short speech to Vidal, and then walking out was a quietly dignified and heart-breaking death. And then Vidal's wife dies in childbirth, and he's just killed the only other doctor.
Carmen's Death by Childbirth and her funeral. Imagine how Ofelia felt all alone with only Captain Vidal for a parent.
The music that plays when the poor French guy has to have his leg cut off as he braces himself squeezing Mercedes' hand is pretty sad.