Bentley's reaction to Penelope being the Black Knight in Thieves in Time certainly serves as one. He retreats into his shell for the remainder of the episode, until he finally comes through at the last minute to stop her from crushing Sly, earning himself a Crowning Moment of Awesome as well.
Sly's backstory in general. His parents were brutally murdered by the Fiendish Five, and he was sent to an orphanage. On the day he was finally going to inherit the Thievius Raccoonus. Which itself was ripped apart and taken by his parents' murderers, depriving him of even a memento (since he likely would have been allowed to keep it as it's a family heirloom).
The end of Sly 2. Bentley goes to grab the Hate Chip that powered Clockwerk, then BAM! He becomes crippled. Murray tries his best to save him, but all Bentley can cry out is, "Pick me up! I can't walk!"
The ending to "Menace in the North, Eh?" also counts. Jean-Bison sells away all the Clockwerk pieces, thus ruining all the hard work the Gang has done getting them. It is pretty heartbreaking to see them so defeated, and Murray even loses his prized van along the way.
The climax of the Arabian level in Thieves in Time. Ms. Decibel was completely devoted to Le Paradox, and fulfilled the most crucial role in his master plan. But not only did he callously toss her aside when she was beaten by Sly, he cruelly pointed out that he never loved her to begin with. Villain or not, you have to feel at least some sympathy for poor, besotted Mz. Decibel.
If you've followed the progress of Sly and Carmelita's complicated relationship in the first three games, the events of Thieves in Time are particularly painful to watch: Carmelita, angry at Sly because he faked amnesia at the end of the third game, refuses to hear him out when he tries to explain everything, going so far as to flirt with his ancestors, and remains abrasive to him for much of the game. All we get are subtle implications that she still has feelings for him up till the end. Seeing their relationship take such a huge backward step can be painful, especially for fans of the SlyxCarmelita pairing.