Before Frozen Factory Act 1, Tails accuses Sonic of trusting Eggman to help them shut down Eggman's machine more than him. This proves Tails cares about Sonic's approval of his smarts, and to have his best friend trust his worst enemy was quite upsetting for him.
Later in Frozen Factory, Sonic yells at Tails for putting his own life in danger. Tails was only trying to help; it's really sad, especially if you're a Tails fan.
Tails: I was just trying to help...
After completing Silent Forest Act 1, Sonic, Eggman, Tails, Orbot, and Cubot find another capsule that should have more animals in it. Tails finds out it's a trap, and manages to shove Sonic out of the way before he could be captured. Unfortunately, Tails was captured instead. Sonic isn't happy about this, and Eggman actually tries to comfort the Blue Blur...
The cutscene in Sky Road where Zavok tells Sonic what they're gonna do with Tails. Roger Craig Smith's performance as Sonic was great, and you could really feel the horror in his voice when he shouts "NO!"
No words about Amy's last words to Sonic before she gets her life sucked out by the Extractor?
Amy: It's... t-too l-late for us, Sonic... S-save the w-world and k-kick some b-butt for a-all of us. I'm s-sorry I never got to s-say—
During Lava Mountain, Sonic tries to contact Knuckles & Amy but gets no response from the silent Miles Electric, as they've been sucked into the life-draining machine. The implication that ALL of his friends, and his world, are dead, and all because HE kicked that stupid conch, is just depressing. Once again, the music and the atmosphere really helps.
To make matters worse, Sonic already saw Amy and Knuckles dying in a previous cutscene, but he still vainly tries to contact them. The fact that the music of this cutscene is called "Solitude" according to the original soundtrack, very much implies that Sonic desperately wants to find someone to talk to. You read right: Sonic is so close to crossing the Despair Event Horizon.
Sonic: Amy? Knuckles? Anybody?(lowers his head, shakes it in resignation, and sighs)
Even two of the villains come off as being pitiable. Zor literally lacks any connection to life, to the point where he smiles as he realizes he's about to be burned alive in the lava. And Zomom displays how low his self-esteem is as he's defeated for the last time.