To some extent, defeating Sonic in the Pure Dark and Semi-Dark Endings. In hindsight, the fact that you have defeated everyone's beloved blue hedgehog along with Diablon and the fact that you have turned your back on all of the heroes makes this all an unpleasant sight.
At the end, when the President says "Even though we tried to destroy him, he still saved us." It brings to mind Sonic Adventure 2 and how Shadow sacrificed himself to fulfill Maria's wish despite his former Humans Are Bastards attitude. That one line perfectly captured Shadow in that moment. The piano tune over the credits didn't help matters either.
Also at the end of Shadow, Shadow standing aboard the ARK and looking at a picture of Maria and Professor Gerald, before tossing it behind him and saying "Goodbye forever, Shadow the Hedgehog." Part of the impact may be from the callback to Adventure 2's "Sayonara, Shadow the Hedgehog."
The music to Lost Impact. It's made even worse by how it's one of the two flashback levels (along with The Doom) that you go through with MariaRobotnik.
The music for GUN Fortress, the final level of the Pure Evil path. It perfectly captures the mood of the level — humanity is all but wiped out, and you're storming their last line of defence. Regardless of if you go the "Hero" (more like Starscream at this point — given that in doing so, Shadow is betraying both the heroes and Black Doom to take over everything for himself) or Dark route (which ends with the human resistance being completely crushed), the World is doomed. And it's your fault.
Right before you play through The Last Way — Sonic, Tails, Knuckles, Amy, Rouge, and Eggman are all paralyzed by nerve gas. Then Shadow takes off to stop Black Doom, and there's these words:
Rouge: (Desperate tone) Shadow!
Sonic: You're our only hope, now...
Shadow killing Dr. Eggman in three of the endings was pretty heartwrenching, especially considering that the game portrays Eggman as a morally-complex character who isn't irredeemably evil like Black Doom is. Seeing such a lovable villain get killed off, non-canon though it was, was a real gut-punch to the Doc's fans.