Wakaba's duel (pictured). Just... Wakaba's duel. Especially when Utena can't bring herself to pull her sword from Anthy's body and raise it against Wakaba while she, having completely snapped, chases after Utena while screaming about how everyone looks down at her and how Anthy stole Saionji's love for her. Poor, poor Wakaba. The depressing duel theme doesn't help, either. And then the episode ends with her coming back to find that Saionji isn't there anymore.
Utena, Anthy, and the coffin during the finale. Not to mention the kiss and the sword.
Before that was seeing Utena gravely wounded, unable to get up, and utterly helpless as she watches her friend get stabbed by a million swords, begging and crying for her brother to save her, while the background music is mourning the meaninglessness of life, and Dios telling her she did pretty well "for a girl" was nearly UNBEARABLE. But then there were tears of a much more triumphant kind when she got up.
Episode 34 and The Tale of the Rose Bride. Seeing Anthy scream in pain while being impaled by the swords of all the villagers is just awful to watch. Likewise in episode 39 when the swords pierce her, and Utena screams on her behalf as the word "witch" is chanted in the background.
Anthy's suicide attempt in episode 37, especially followed by Utena and Anthy's tearful apologies to each other.
The infamous Cantarella scene. Anthy is warning Utena that she has and will hurt her, just like she poisoned the cookies. Utena, however, acknowledges this by saying she poisoned her in return, showing that she's still hurt over what she saw between Anthy and Akio. However, they both partake in their "deadly" treats anyway, and saying how good it tastes: saying that they forgive each other, despite the hurt.
The very, very end as Baiser plays and Anthy steps out of Ohtori while the bells ring, signifying her victory because Utena gave her the courage to take HERSELF back. "Now it's my turn to go to you. No matter where you are, I'll find you for sure. Wait for me, Utena." Then the music slammed into the triumphant ''Rose and Release'.
Utena playing badminton with Miki, Juri, and Nanami, once you realize this is the first and last time we see them all as friends.
Seeing Shiori in her room, broken after Ruka loses the duel against Utena and cans her in front of the entire school. Despite the fact that Shiori is an incredibly unpopular character in the fandom, there is something absolutely heartbreaking about someone being kicked when they're down, especially given that her self-esteem is so crushingly low to begin with. And as if the humiliation of being dumped publicly wasn't enough, the wound is only salted further when Juri (who had already walked away from the breakup scene as if it had nothing to do with her) swallows her pride and visits Shiori. Most fans only see this through Juri's perspective and consider Shiori to be harsh needlessly, but in truth, Juri is doing exactly what Shiori doesn't want her to do. Not to mention that it's Shiori's hand on the knob desperately trying to open the door.
Utena losing her first duel against Touga, the destruction of everything Utena thought she knew about him and Anthy and the accompanying Heroic B.S.O.D..
"It's not true! It's not true! It's not true!"
Agreed on the last part. Although he's a very polarizing character, Touga arguably gets WORSE when he doesn't tell Nanami that they really were related, basically making her entire breakdown over a lie. Actually, a lot of stuff about Nanami can be a tearjerker, simply because she gets it so bad towards the end of the series.
Everything concerning Juri and her locket. Every. Single. Thing.
Hell, just Ruka's two episodes. From his brutal emotional warfare against Juri and Shiori, to that scene where he sexually assaults Juri, the anger and frustration clearly in both of them. The duel, the locket breaking, and Juri's stumbling across the arena, gasping like someone ripped her heart out before tearing off her rose and disqualifying herself. Him saying, "It'll be alright, Juri," and then finding out he was dying the entire time, and everything he did he did knowing he had no other options. He loved Juri, he made her hate him, and he hurt her, knowing all along he'd die with her hating him, but he had to help her. It's really so complex and tragic for everyone involved...
Juri's dictated "letter" to Ruka at the end of his two episodes.
Mikage/Nemuro's backstory and duel in episodes 22 and 23 can be pretty gut-wrenching, since Nemuro went nuts out of desperation for Tokiko's love, and in the end Mikage is just dismissed and forgotten about, with no hope for a happy ending.
Mikage being exceedingly disoriented as Mamiya speaks to him in his mind at the end of his duel.
Nanami's Trauma Conga Line towards the end. Especially since nothing really comes of it.
Nanami: What is left for me now? Am I just another fly in an enormous swarm? Oh God, anything but that!
Nanami breaking down in tears at the end of her first duel with Utena. Actually, that whole backstory with the kitten.
Episode 34: "Then I'll become her prince! I'll become her prince and save her!" Makes me tearyeyed every time.
Episode 9: We see a flashback to Utena's dark childhood where she lost her parents. She left the funeral in tears and found her parents in coffins and saw an extra one. She decided to hide in it awaiting death, thinking it was meant for her. Touga and Saionji find her there but she tells them to leave her there. She feels sick because since she witnessed her parents death she now thinks living on is pointless if all humans eventually die someday. She has completely given up on life.
The lyrics to the opening song, when translated, have a heartbreaking connection towards the final episode:
'Gonna take who I've been till now, and find the strength to throw it all away. Strip down to nothing and become like a rose petal, blowing free. And if the two of us are ever torn apart, I swear that, I will change the world.
After getting into a massive fight with Anthy after Anthy brought up painful memories about Touga, Utena breaks down sobbing in her lap.
Utena: There was never a prince!
According to Ikuhara's commentary, the reason Shiori is always seen with Touga is because she feels so lonely that she can only find company with the dead.
Utena's final scene with Touga. That elevator and that kiss...
Especially poignant in that it takes a character whom the series made out to be an absolute bastard and turns him into a hero.
The music, a 2-part melody, sells the scene perfectly. The first half is accompanied by the tension-building "Abraxas"...which, just as the tears are dammed up to the point of bursting, gives way to its second part: the movie's glorious rendition of "Hikari Sasu Niwa."
After Touga leaves his service of Utena because she knows Akio's identity and cannot stop loving him despite this, Utena goes to take a shower, only to end up bent-double and sobbing.
To say nothing of the manga finale. "My name means 'calyx'... the cup that shields the young flower," and seeing Himemiya in the boys' uniform were both the limit.