Crona's flashbacks of having the brutal Medusa for a mother who used her/him as a test subject. And the following scenes of Maka finally getting through to Crona.
More about those flashbacks: When young!Crona was unable to kill a small dragon (a bunny in the manga), Medusa locked him in a pitch-black room for days as punishment. The worst part is, before she locks him in, Crona is crying and begging her not to do it. Medusa closes and locks the door without a word.
When she finally lets him out, Crona has spent god-knows-how-long getting beaten up by Ragnarok, and when he sees Medusa he runs over to her, still crying and asking her to make him stop hurting him. He's so desperate for even a little love and comfort from his mother. What does Medusa do? When Crona mentions that he can't defeat the "little one," she throws him right back in the room and locks him in again.
Oh, and "throws" isn't an exaggeration, she literally hurls him back in with a vector plate. The kid lands hard on the floor and it looked fairly painful.
Maka telling Chrona that she'll be his/her/whatever friend, and he breaks down because no one has ever been friendly to them in their life, let alone make an attempt to befriend them. In the anime, the special end animation just drives it home.
Tsubaki being forced to kill her own brother, Masamune, to avoid him killing even more people.
The whole fight between Tsubaki and Masamune, and the flashbacks that go with it, along with the revelation of what Tsubaki is named after, cements her Iron Woobie status.
Crona's reaction to being accidentally Maka-Chopped in Ragnarok's place in episode 26 counts. It's Played for Laughs, but he cowers in the corner with his hands over his head, saying, "I'm sorry, I'm so sorry! I didn't mean to! I'll never do it again, I promise! Please don't hit me, please don't hit me, it hurts!" He doesn't seem to realize the chop was meant for Ragnarok and not him. Remember that this kid was raised by Medusa - this troper would not put it past her to hit her child if he did something she didn't like.
There's another moment in this episode that's this mixed with Fridge Horror and is Played for Laughs - when Maka takes Crona up to the balcony. He looks out at the brightly sunlit city for a moment, then looks uncomfortable and whimpers, "It's...so bright..." making Maka and Marie laugh. The Tear Jerker comes in when you realize why he reacted that way: when he disappointed Medusa as a child, he'd get locked in a pitch-black room for days on end as punishment, and from what we saw, it's safe to assume that he mostly hunted souls for her at night. The poor kid isn't used to sunlight, or any light at all.
Mifune's death after the situation between him, Black Star, and honour comes to its jarring conclusion. And he then dies while Tsubaki is helping him back to Angela, turning into petals as Masamune did earlier on.
In episode 15, the little ghost girl that helped Liz find her way out of the Nidhogg getting sucked up into Ragnarok with all the other captive souls.
Ghost Girl: Goodbye, scaredy-cat lady...
The look on Liz's face when she sees the girl disappear.
The Clown chapters, when Maka's hallucination starts out as what looks like a cute flashback to her as a very little girl, talking to her Papa. We even see a similarly little Black Star. And then, out of the blue, Spirit falls to the floor and Maka can't get him to wake up. Another Maka with half a mask on her face turns up (the Clown causing this vision), and tells little Maka that her daddy is dead.
Episode 48, with Shinigami being shot by Asura to protect the bystanders, and Kid's reaction. His look of utter shock and distress is brief - because he gets mad instead - but it's enough. You also have the fact that Shinigami holds Spirit out of the way of a direct hit, when he could have used him to block the 'bullet', and it's made somewhat worse if you take the shots of Kid immediately before to mean that Asura was deliberately aiming for the boy.
While many fans seem to feel that Maka's reaction to the Book of Eibon was unnecessary and dragged out too long, it does show the Badass Bookworm's personal insecurities in a way that remind you she's still just a girl who doubts whether she's 'good enough' (Okubo contrasting the mundane and personal with the surreal and screwed up, as per usual). Given her great ambitions, it was to an extent a relevant reminder, if a heavy-handed one.
Patty and Liz being forced to write a last will and testament before leaving to fight the Kishin. That really drove home just how dangerous this mission is considered, and felt like a realistic element of sorrow. Then they realise they have no one to leave anything to...
Not sure if soundtrack examples count, but just listening to "Salve Maria (Peace Be With You)" seems to be particularly evoking of sadness. It just gives that feeling of sadness and loneliness...
In chapter 74 the Envy Chapter of the Book of Eibon delivers a harsh Break Them by Talking speech to Maka. It's enough to reduce her to tears.
Later, in chapter 96, there is Maka and Soul meeting up with... the fully Face Heel Turned Chrona.
Chapter 107: As Kid activates his sanzu lines and gains more of his true shinigami powers, Shinigami-sama's mask cracks, and it is apparent that when his son reaches his full potential that he will die. Excalibur asks him if his confidence in Kid means that he does not fear death...and then he admits that he fears it just like everyone else. That, and imagining Shibusen without Shinigami-sama is heartbreaking...
Translation for chapter 107 was very off. In fact, Shinigami-sama said that he does not fear death, as he already gave all of his fear away. Which then tied into the reveal for chapter 108.
Liz and Patti's reaction to Kid's abduction in Chapter 56. Liz threatens to shoot Noah and demands that he let Kid go, but Noah simply leaves. Liz breaks down in tears, realizing that she and Patti wouldn't survive a fight with Noah. Patti becomes frustrated and calls Liz a coward for not giving chase. Liz replies that while she also wants to save Kid, she can't let Patti come to harm as well. Patti tries to comfort Liz and wonders what they're supposed to do now.
While Tsubaki and her brother are battling it out, Black Star refuses to leave her side, even while a kid in the village is beating his head with a branch. And when the fight's over, Black Star's worried she's lost. He's begging her to come back, constantly chanting "Encore. Encore. Encore." This was the first time Black Star thought nothing about himself.
The last panel of ch109 shows Shinigami's mask cracking again, as Kid decides he will become a 'true shinigami'.
Chapter 110. RIP Shinigami.
Crona decides to use the black blood and Brew to imprison the Kishin, so though Maka reached hir she cannot bring Crona back.
This appears to work, when Kid and Black*Star manage to make Asura bleed....but the resulting flood of black blood across the moon appears to consume Marie, Sid and Spirit.
Maka's reaction to the above, as Black*Star and Kid hold her back from flying down to rescue her dad. With tears in her eyes, Maka just screams.
Amidst the absurdity that is, apparently, the final chapter we have Kid discovering his father's cloak. Excalibur's blunt explanation doesn't make it any less terrible that Kid didn't know what becoming a true Shinigami meant.