Albert's scenario is packed full of Break the Cutie and From Bad to Worse. On the evening that his family is celebrating Diana's impending marriage to Prince Neidhart, monsters assault their home. His parents force their children to flee, and Diana pulls a Heroic Sacrifice that entails shoving Albert off a cliff to keep him from standing and fighting against impossible odds with her. His attempts to reach the Prince and request aid lead to his being shipwrecked and repeatedly sidetracked, and upon finally making it to Rosalia, he learns he was far too late. The game also actively prevents him from discovering that Diana survived, as game mechanics prevent any party from recruiting both siblings at the same time.
Even one of his recruitment spots is absolutely heartbreaking — early on, there's a chance for other heroes to find him standing in the ruins of Isthmus Keep, looking absolutely lost.
Aisha returning to the Steppes of Galissa only to find the whole town has vanished. She bounces back quickly, but the poor girl's initial reaction is just heartbreaking.
Claudia has Eule's death, which comes in the middle of her scenario, and can occur to any party who happens to have picked her up and is traveling with her during that particular period of time.
The mysterious Schiele specializes in these. Each time you run into her, she's reminded of a different tale of somebody running headlong into Deus Angst Machina. Once you've heard all her stories, that triggers her real quest, wherein she reveals she's the mortal form of the dark goddess Schirach, and gives you the Diamond to keep it out of her brother's hands, even though that means sacrificing her human self.