There are two major ones involving Ayu: both when she begs Tetsunosuke to befriend her brother and help him in her place, and later when she was tortured and then left dead in the street. Having her voiceover for the episode preview didn't help either.
Suzu cradling Yoshida's body after Ikedaya.
Yamanami's end. After Yamanami can't bear the strain in the Shinsengumi anymore, he and Akesato plan to run away and start a new life together. The plan goes awry and as Yamanami flees on horse, he runs past her as she is making her way to their meeting place. Akesato realizes that it's him but it's already too late. Then Yamanami goes back to the Shinsengumi with Okita later only to kill himself on Okita's blade. Everyone is devastated.
Hijikata's reaction when he sees that Okita's sick with Tuberculosis.
The prologue of the Peace Maker Manga. If going by actual history, by that point of time Okita, Kondou, Yamanami, Heisuke and Susumu are dead, Sano is presumed dead, and Hijikata knows he won't make it out of the war. He sends Tetsunosuke away to Hino to spare him. Thefollowinghappens. Historically, Hijikata Toshizo died by a gunshot wound while on horseback.