More of a fridge tearjerker, but Finch's little speech in "The Fix" about his inability to help the numbers before he found Reese and how much that haunted him qualifies. Just picture it from his perspective; you've created a machine that is able to predict crimes before they happen, but you're unable to do anything to prevent them because you're handicapped. Finch states in the Pilot episode that someone is murdered in New York every 18 hours. It took him about 7 months to track down Reese after bumping into him at the hospital in New Rochelle, but we can assume that he was keeping an eye on the Irrelevant numbers even before that. How many murders did he have advance knowledge of during that time, and how many of them does he feel are his fault because he was unable to stop them? It's no wonder that he's so determined to save them now!
You want to know how many? He has a bulletin board with every number he failed to save since the day he decided to try to do something about them in the library. You can see it in several episodes. Which means that he has to look at the list of all the people he failed every day.
Reese bonding with dying Stasi assassin Ulrich Kohl in "Foe".
From "Number Crunch", Reese's It Has Been an Honor speech to Finch after being shot by the CIA and was most likely going to die.
Reese: I wanted to say thank you, Harold, for giving me a second chance.
Finch: It's not over, John. I'm close, just get to the ground floor.
Reese: No, you stay away. Don't even risk it.
The refrigerator truck scene from "Baby Blue." The raw desperation on Reese's face and in his actions is enough to make this troper cry.
At the end of "Identity Crisis", Finch is doped up on Ecstasy and mistakes Reese for his (now dead) best friend Nathan Ingram.
Reese, sitting in the dark and watching Jessica's wedding video as it dawns on him that not only did he fail to come for her when she needed him, even after promising to come get her with the words, "wait for me," that he couldn't say to her before, but it was because he couldn't say those words all those years ago that, even though they were still deeply in love, she gave up on him and married an abusive husband who later killed her.
Really, practically everything about "Many Happy Returns" is a tearjerker.
The crowner is the last scene, where Reese knocks into someone. And then the camera pans out and we see it's Finch, in a wheelchair, with a folder containing photos of Reese, Jessica, and Arndt, with their numbers, and a haunted expression on his face.
Finch: I'm so sorry.
Finch telling Reese about how he had to fake his death (Or at least, the death of one of his various aliases) so that if the government ever decided that he needed to be killed in order to keep the secret of the machine, they wouldn't go after his fiancee as well. He sits in the park outside her house from time to time, keeping at least 100 yards away so she doesn't notice him, just so he can see her.
In her one redeeming moment, Sam Groves aka Root thanking John for "finding her friend" a childhood friend of hers who was murdered and one of the big reasons she lost faith in humanity. It doesn't even come close to justifying her horribleness, but it's hard not to feel something for her at this point.
Reese seeing Riley's body was quite depressing: The man was clearly a Shadow Archetype for Reese, a Hitman with a Heart trying to redeem himself and save his beloved, Reese could sympathize despite everyone else telling he is a stone-cold killer who should be left to die. He was seeing himself in that young man. Then he actually does die, Reese closes his eyes in a respectful way.
Finch catching a glimpse of Grace outside her house and having to dodge into cover even though he clearly wants nothing more than to go to her and watching her as she walks down the street. Of course, that's when The Machine calls with a new Number, and so doesn't even get to see her go out of sight.
Several moments in the interrogation scenes from "Prisoner's Dilemma" qualify, most notably when John talks about the time he killed an enemy insurgent by breaking his neck, and also when he talks about his relationship with 'Allison' (an alias for Jessica). The former because his voice actually cracks and he has to stop and compose himself, and the latter because the story he's telling is of the life he wishes that he could have had.
YMMV on this one, but in "Prisoner's Dilemma" Bear seems concerned when Harold arrives at the library alone, and then later there's a shot of him lying in his bed on top of one of John's suits. He also leaps to his feet and whines at the computer monitor when he hears John's voice through Finch's video feed. He was so clearly missing John (his 'alpha') that it made this troper cry.
And yes, it sounds cheesy to say a dog was acting concerned, but he totally was okay?
"Dead Reckoning": Stanton has gotten what she wanted and Reese tries to reason with her to let them go. She seems to be on the verge of doing so but instead indulges in an epic Kick the Dog moment by activating John and Mark's bomb vests and shutting the door of the room they're in while they helplessly look on with the timers counting down to detonation.
Minor one in the same episode. Even though he's a Jerk Ass, when Reese tells Mark Snow that contrary to his expectations, the CIA wouldn't welcome him back with open arms after defusing his bomb vest and would probably torture him about his absence under the suspicion of being a traitor, Snow gives an utterly despondent look, implying all he had left to live for was his job and causing him to be Driven to Suicide in a Dying Moment of Awesome.
The rooftop scene from "Dead Reckoning". Holy cow, the rooftop scene. If you weren't crying, you should have been, because Reese is convinced he's about to die, and he's clearly terrified by that fact but he's still prepared to make a Heroic Sacrifice''alone''. However, Finch is waiting for him on the roof of the building and refuses to leave even after Reese pulls a gun on him. Finch then attempts to disarm the bomb vest Reese is wearing (which he's never done before!) because he's determined to either save his friend's life or die trying. This scene completely disproved Reese's season 1 philosophy that "In the end we're all alone, and no one's coming to save you."
Carter's reaction is equally gutwrenching which shows how far Reese and Team Machine have come in their Character Development. She's close to tears, begging Reese to let her help him, and only allows herself to be pulled away by Fusco when he brings up her son.
The whole last scene between Reese and Finch in the Library with Reese trying to comfort Finch about Grace and his decision to "die" to keep her safe, but especially Finch's last line and part in that episode:
Finch: "I'll grow old with her [Grace], Mr. Reese, just from afar. Beyond that, it's best not to think about it." Pretends to start clacking away at the keyboard until Reese goes away, and then pulls up a picture of when he and Grace were together. It's heartbreaking.
Carter's reaction to Beecher's death, just after finding out that he was innocent.
The Machine going offline because of the virus in Extremis.
The opening scene of "In Extremis", where Fusco is burying Stills' body and openly weeping. Then it becomes even more painful when the flashbacks show that Stills was a true friend to Fusco, and he was a decent guy who slid down the slippery slope and became dirty, with Fusco following him out of loyalty.
From "Zero Day", it is revealed that Finch programmed the Machine to delete its memories every night, after it began imprinting on him like a father, because he felt that the world needed a machine more than a person. And yet the Machine still loves Finch, despite this. Even after its memories are wiped, it still tags Finch as "Admin", trying to protect his identity.
In "God Mode", Harold's fiancee Grace discovering the hidden ring inside his book, and Harold himself unable to reach out or comfort Grace.
Finch's horrified and utterly gut-wrenching reaction when he wakes up after the bombing at the ferry terminal and see's Nathan's corpse which is then taken away. Made even worse in that their last interaction was an argument over control over the Irrelevant list.
The argument itself is also quite depressing. Finch has learnt the ISA is beginning to murder the people who built the machine and is begging Nathan not to go public and reveal it's existence. Nathan, who's relationship with Finch has deteriorated especially after Harold deleted the Contingency demands Harold give him back control and offers to save the numbers with him. Finch refuses and Nathan resigned to the fact that his dearest friend won't listen to him tells him where he'll be having the press conference and walks off
Finch discovering that Nathan's number had come up prior to his death. The fact that the Machine erases the Irrelevant data at midnight only seconds after he finds it really drives home the mistake he made and how much he screwed up in ignoring the irrelevant numbers and driving Nathan away.
Also, Reese discovering the picture of his ex, Jessica, as one of the "irrelevant" people Finch could not save. His reaction is heartbreaking.
Meta: Did anyone get flashbacks to Lionel Fusco having to bury Stills?
Laskey doing a Heel Realization and not a minute later, dying when Terney shot him while taking Terney with him to save Carter.
Made worse by the fact a episode ago he decided to throw his lot in with Carter to get revenge for a friend. He may have helped her significantly in helping bring down HR but he won't be there to enjoy or witness it.
"The Crossing": Carter dying in Reese's arms just as the payphone begins to ring in the background with the next number on the "Irrelevant" List. And that number is probably Carter's or Reese's, which makes it all the more poignant.
To make it worse, what are Carter's first words after getting shot? "I need to see my boy."
The icing on the cake of depressing would be Carter pleading with Reese to look in on Taylor.
Also Carter's Character Development up to this point. She had evolved from a Base BreakerBy-the-Book Cop who was initially met with a frosty reception by the fan base and was hostile to Reese into a beloved fixture of the show, a brilliant Chessmaster who cooked up one of the series most successful Batman Gambits and was seemingly Rescued from the Scrappy Heap as a result. She had successfully accomplished what she set out to do and even got reinstated back into her old job in the NYPD but then out of nowhere, Simmons steps out of the dark and suddenly shoots her
Reese and Finch's reactions are really what make the scene so upsetting. This is the first time where Reese actually breaks down sobbing, knowing there's absolutely nothing he can do. And while he's cradling her dead body, Finch is just standing there staring with tears in his eyes. They more or less mirrored how all the viewers were reacting to her death.
It actually seems that Reese's blood pouring over the gun caused it to not fire. He was so lost in his vengeance, and so close to death, it stole away the revenge he desired.
Reese is about to kill Quinn. The music comes to a dramatic halt. And then all you hear is a very quiet, heartbreaking "Mr Reese."
Fusco arresting Simmons the way Carter would have wanted, stating he wouldn't let Simmons undo all the work Carter did, as Fusco could have ended up in the same place as Simmons if it hadn't have been for having Carter as a partner. She reminded him that he could be a good person again, no matter what he had done in the past
Harold's father. He goes the same way as the PoI, eventually ending up wandering dazedly across Harold's hometown in sub-zero temperatures.