Throughout the series, we see glimpses of the work of Erana, a famous fairy/wizard in the world of Quest for Glory. Then, we finally learn what really happened to her in this game: she sacrificed herself to seal a Cosmic Horror, becoming trapped with him for all eternity. Luckily, you reverse the situation at the end of the game. Though the following dialogue with her spirit form, especially if you play as a Paladin or Wizard, who throughout this game comes to hold an emotional spiritual connection to her, is sure to leave many a gamer in tears
Toby's sacrifice. The expression on his face beforehand really drive it home.
Nicolai's whole life, losing his beloved wife at a young age, he kept looking for her until he was a senile old geezer. You can re-unite them But doing so kills Nicolai, still, their ghosts move to the afterlife together.
The Burgomeister says Nikolai's not actually as old as he looks. His wife's death hit him that hard, which makes this even more tear-jerking.
Paladins can show Pyotr's sword to the Burgomeister. He will then tell the hero about how everyone in town thought that Pyotr had abandoned his wife (The Burgomeister's grandmother) and how everyone (him included) thought she had gone crazy by insisting that Pyotr did visit her at night, and how she would go to sleep near Erana's staff with a smile on her face. However you reveal to him that she was saying the truth: Erana's staff IS haunted by Pyotr's ghost (as it is where it gives quests to Paladin heros).
Katrina's sacrifice and death deserves mention. The player can use dialog options to build the character as if he is falling in love with her, and it's made explicit that she had truly fallen in love with him in turn. Katrina's death is the first time in the series that your actions are truly because it's become personal. Such emotional depth was still relatively new in video games, and becomes an incredibly powerful moment.