Skulduggery: Well, we escape. I'm not sure how yet but-
Valkyrie: No. What do we do now? We're partners. You're my best friend. I love you. You were my... I looked up to you. What am I supposed to do now?
Skulduggery: *turns away* You need to find yourself a new hero.
"Valkyrie," Lord Vile said. His voice was a whisper.
Keep in mind that this is the only thing he has said in the series.
Fletcher's reaction when Valkyrie tells him she was cheating on him.
Skulduggery's "I would", when asked if there was anyone who’d be willing to give up the rest of their life to guard Darquesse.
Carol's death. She had grown up so much, she's got such crappy self esteem and all she wanted to be was special. No one even knows she's dead and she died thinking Valkyrie was the one murdering her. For extra depressing points, it sounds like she was the only one talking her sister out of a potential eating disorder.
Remnant!Tanith returns in Kingdom of the Wicked. Valkyrie begs her, without success, to turn herself in so they can help her. There are subtle hints that a part of Tanith still loves Ghastly. Last of all, Ghastly reaction to Tanith killing Strom. This happens in a chapter entitled "A Happy Ending". Really, Landy?
By Kingdom of the Wicked, Valkyrie's only close friend is Skulduggery. And her reflection. Which is trying to kill her.
Valkyrie: *laughing* My God, do I have any friends left?
Lord Vile kills Ghastly in the alternate universe. That's when you know that this version of Skulduggery is gone.
The way Dark Days starts.
She missed him.
She missed his voice, and his humour, and his warm arrogance, and those moments in his company when she realised that this was when she came alive-finally living, by the side of a dead man.
A lot of Last Stand of Dead Men is depressing, but one of the worst parts has to be when Skulduggery tells Dexter and Saracen that the Dead Men are gone
Skulduggery: There is no Dead Men. Ghastly and Anton have been murdered. Ravel's betrayed us. Valkyrie is ...gone.The Dead Men have had their last stand and we've fallen. The three of us are all that remain.
Even more depressing is Dexter's realization that Skulduggery is right.
"The sounds of war faded as that quiet, simple fact settled into Vex's mind...He looked at Saracen and Skulduggery, his friends, his brothers, and although they had history that would hold them together forever, he could feel the bonds between them start to loosen, and fall away. Suddenly Saracen Rue looked old and tired, and Skulduggery Pleasant came into focus as what he really was—a genius, a killer, a tortured soul, and the only truly dead man among them."
Ghastly and Anton's murder by Ravel.
Fletcher's reaction to Ghastly's death was utterly heartbreaking, especially considering how supportive Ghastly was.
Cassandra's second vision and Valkyrie's reaction to it. Desmond demands that Darquesse let Valkyrie go and Darquesse incinerates the whole family. Then Darquesse kills Skulduggery.