This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Paranormal Activity
Katie's gradual nervous breakdown in the first movie.
In the third movie 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.
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 find 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.
Alex's final stretch in the fourth film ends up like this- after everything goes to smash and her parents fall victim to Katie/Toby the poor girl desperately tries to find Hunter instead, to the point of chasing Katie into the house, gets a first hand look at Katie's Nightmare Face and is terrified and has to flee through a window before getting mauled to death by a pack of witches. Hunter isn't even her real brother but rather adopted, however Alex still loves him enough she willingly puts herself in life-threatening and terrifying situations while she's alone for him, which is all for naught as she dies in the end and fails to save him.
Jesse's entire situation. His possession slowly turns him into a monster, and there is nothing he, nor anyone else, can do about it. It gets even sadder when he reveals that he was fully aware of his violent actions, but couldn't do a thing to stop himself.