This troper actually got a little choked up in the third movie. Right around the end, when Dennis is doing damn near everything he can to get himself and the girls out of the grandmother's house, it hits you that we already know how this all ends. Even if we know the girls do survive that night, no matter what he does, no matter how hard he tries to protect them, there's absolutely nothing he can do to save them in the long run. And it's absolutely heartbreaking.
To add onto that, considering that Dennis is the only main character (besides Ben and Randy, and maybe the characters from The Marked Ones) that actually isn't stupid or being an asshole like Micah and Dan were. It's what made this troper give up on PA for good, especially on how sour the franchise has gotten with making a Villain Sue cult.
There's one earlier on in the third movie, shorter but quite sweet. Randy trying to calm down a terrified, weeping Katie after the game of Bloody Mary, and crying himself as he hugs her.
Katie: I'm so sorry! Please don't tell. Randy: It's okay. Yeah? It's okay. I'm not gonna tell, I'm not gonna tell.
What's more heartbreaking about this is that We never see Randy again. After what happens, he gives up trying to find out what was going on and lets Dennis do the investigation on his own. For all we know, he may never found out what happened to Dennis and Julie, let alone the kids... We can only hope he returns in the later films..
A bit meta, but the death of Doug, Alex's dad is more upsetting when you know the actor died just before #4's release.
Since many viewers of the fourth film end up liking him a lot, many may become teary eyed after watching Ben die. Then poor Alex discovers his body.