This troper always breaks down watching Suiseiseki desperately trying to talk Souseiseki out of fighting and Sou's consequent death, and then Sui grabbing her body first before reaching for her rosa mystica
The raw despair and lack of a will to live demonstrated by Ill Girl Megumi aka Megu, a medium of Suigintou, who she begged to use up her life force. Did I mention she calls Suigintou "Angel-san"?
Suigintou counts too, at least when she's not in Axe Crazy mode (Ouverture in particular). Despite being brought Back from the Dead repeatedly, her death scenes make it as far from Death Is Cheap (or Narm) as it can be.
Suigintou's entire back story counts, at least where Rozen Maiden: Ouverture is concerned. You feel so sorry for her, and then realize it was because of Shinku and Souseiseki belittling her, and their revelation that she is an incomplete doll that turns her into the Big Bad of the first season.
This Troper's favourite tear jerker is in episode 6 of Traumend, when the newly resurrected Suigintou returns to Shinku's dream to issue her standard Badass / Archnemesis challenge, and Shinku responds in tears "Thank goodness you're still alive" and then "I'm sorry, I was wrong to ever call you junk". This results in a significant 'warming up' of both characters, even if not to each other. The most heartwarming tearjerker I've ever seen... because late is better than never.