Painwheel's whole existence probably counts. Once just a normal girl, she was kidnapped and turned into a mind controlled, Anti-Skullgirl monster. Things do downhill from there. She seems to have regained control at the end of her story mode and attempts to go home, but her parents reject her and call her a monster. Not only that, but it is revealed that she is still without freedom, as the Skull Heart somehow took control of her, turning her into the new Skullgirl.
The Dark Reprise of her Leitmotif, The Lives We Tried To Reclaim, playing in her ending does nothing to help with the sadness factor at all.
Peacock's ending shows that she and Marie were once good friends. Marie reveals that she became the Skullgirl in order to rid the world of evil people like Peacock's slave traders and the Medici family. She does not wish to harm Peacock, who she calls Patricia, and asks her to go away, but Peacock decides to free her from the Skull Heart's misery. After listening to Marie's last words, Peacock decides to continue Marie's goal of destroying the Medici Family.
Before that, there's the destruction of the Anti-Skullgirls Lab. Peacock's on the verge of tears seeing how her friends and her father figure Dr. Avian were dying after Valentine wrecked the place.
Squigly's story mode is already sad enough from beginning to end , But the post-credits scene drives all home.
"Here lie Sienna 'Squigly' Contiello & Leviathan. May they rest peace until we meet again".
Has maybe the slightest tinge of Heartwarming, when you consider that Squigly will be coming back when the Skullheart reappears. Not "Goodbye", so much as "See You In A Few Years".
In Valentine's ending, you can see Painwheel's absolutely lost look upon descending into the bowels of the chapel and discovering no Skullgirl but instead Valentine's discarded bonesaw.