Jin parting ways with Shino at the end of "Gamblers and Gallantry." The score for that scene, Nujabes' "Counting Stars", drives it all home.
Sara's death. The fact that it actually gets an emotional reaction from Mugen only served to add to the tragedy. In fact, Saraperiod.
The revelation of what really happened to Jin's kendo master: Master Mariya had cut a deal with the shogunate assassins that Jin, as heir presumptive to the dojo, opposed. Mariya was ordered to kill his star pupil/adopted son to prove his loyalty and attacked Jin in his bedroom. Jin was the better swordsman and struck Mariya fatally before he even realized the identity of his attacker. And in the moment when he does realize, his entire world crashes down around his ears and you can hear it in his voice.
The death of Fuu's father, shortly after finally reuniting with her.
The bittersweet finale doubles as a Crowning Moment of Heartwarming and a massive tearjerker as the three split up, confident that they will all meet again.