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Tear Jerker: Shadows Of The Azure
Mitsuru's breakdown at the Malevolent Entity/Nyarlathotep's taunting. She starts off calm and collected, then starts to explode once the Entity mocks the Persona 3 Protagonist and Yukari, and him mocking her father, her father issues and her leadership skills leads to her eventually going ballistic with rage. She calms down, but the effect remains with her.
Jin, cornered by Shadow Jin and with Kanji to see the humiliating Shadow, breaks down into tears over the idea that he really is just a brother-obsessed baby. He is distraught, and it takes Kanji telling him about his own Shadow to calm him down. It's a great look at a usually cold, confident, cruel character's vulnerable side, especially since it turns his psychotic side into a true weakness, he was at first Laughing Mad about trying to kill Kanji for telling him to accept that Shadow, and the mad laughter devolves into a sad laugh and then he was reduced to ranting and demanding that Kanji laugh at him for his ridiculously embarrassing Shadow. The warrior is reduced to tears, and it takes the man who he looked down on to help him. It's a powerful scene.
Taokaka's breakdown. Nyarlathotep takes the form of the person she trusts the most, Good Guy aka Ragna the Bloodedge, and beats her half to death like Terumi would: but he feeds her the Fruit of Knowledge, which means she gains intelligence: which means all of Nyarly's taunts and beatings take full effect on her. It's enough to start her Shadow Labyrinth, transforming a happy-go-lucky kitten into an abused, terrified little girl who feels guilty for being an idiot.
Litchi encountering Shadow Litchi. She sees her friends and allies all dead, and Shadow Litchi, a womanchild love freak, is catcalling and acting like an obsessed idiot, while calling out Litchi on her flaws and errors. Litchi ends up in tears at the end of it, and who can blame her? Forced to have all her mistakes and flaws thrown in her face, and made out to be an obsessed bitch and moron, unable to do anything to right her reputation.
And don't get to what happens to her and Linhua beforehand... their reunion is spoiled by Linhua giving a rather deserved, but still extremely harsh, What the Hell, Hero? over her decision of joining NOL and not telling, then running off in tears AFTER she yelled in front of Litchi and telling her that she hates her. Right after that there was an off-timed encounter with Rachel, the vampire unaware of her current plight taunted her decision further like usual, which made Litchi snap (Rachel thankfully reads the situation quickly and backed off). When Litchi tries to talk to Linhua, she tearfully hugged her despite Linhua telling her to go away and tells Linhua about her plight and tells her to continue being a good girl and she would leave her as she no longer felt worthy, but always remembering that she was the happiest when she's with Linhua. And when Linhua was just about to forgive her... Litchi got thrown to her Shadow Labyrinth in front of her.