This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Requiem for a Dream
Sara's story. She's easily the biggest victim out of the four, and she's one that got into her drug-induced downward spiral completely on accident, and did nothing to deserve it, only wanting to slim down so she could fit into that red dress.
Special mention goes to Sara's monologue about growing old. Notice how the camera seems to move out of focus? It's because the lens was fogging up because the cameraman was tearing up.
One of the most heartbreaking scenes in the movie is when Sara's friends visit her at the hospital after she's completed her downward spiral, see her horrendous emaciated state, and break down sobbing and hugging at the bus stop outside. It really solidifies the reality that drugs can be destructive to not just one person, but everyone around them.
Sara's ultimate fate, for a lot of reasons, but in particular: she's finally in a place where she can be cared for, where there are other people for her to talk to and keep company with.. and she's too insane to benefit from it. How many problems could she have solved if she'd just been admitted to a retirement community?
One of the scenes with Sara and Harry is depressing, mainly due to the fact Sara is on such a pill high that it actually unnerves Harry (ironic considering his own highs). The two have a small argument and Harry ends up storming off without saying goodbye to Sara, leaving her heartbroken. Her little small "Bye, son" makes it just worse.
The most painful thing about is that it then cuts to Harry in a cab, slowly breaking down into tears for the treatment he gave Sara. Even when he gives himself a high, he still is sniffling. For how horrible Harry treats Sara, it's obvious he loves his mom. And it makes it worse that's the last scene we see of the two together.
Winter is one long Tear Jerker, with a bit of Nightmare Fuel mixed in as the main characters' lives are ruined beyond redemption.
Harry breaking down crying in his hospital bed after getting his gangrenous left arm amputated, knowing that the nurse's promises that Marion will come aren't all that true.
Might also fall under Fridge Horror or Fridge Brilliance (like most things about this movie, it's as scary and depressing as it is thoughtful), but the use of the word "come" in the last few scenes. It goes from "come", as in come back, to "come" as in cum, vulgar slang for orgasm. The phone call between Harry and Marion and the conversation between Harry and the nurse cement it in the end: they're past the point of no return, they've both lost their freedom, and for Marion (the only one of the main characters to hear the "new" definition), there's nothing left but degrading sex.
The film's ending, with everyone having reached rock bottom, is made even sadder by the very final scene: Sara tearfully hugging a well-dressed and presumably successful Harry after winning the grand prize on the game show as the crowd gives them a standing ovation. She's found some form of happiness, but it only exists in her mind.