The end of "Victory." The kill 'em (almost) all ending was expected. The credits montage of all the dead of the entire series, ending in Andy Whitfield's triumphant shout of "I am Spartacus!" was not.
Varro's death. What really sells it is Spartacus' reaction. After killing his best friend, he's back in his quarters. He's clearly struggling to hold in his feelings. Finally, he snaps and smashes every breakable object in his room until he's left pounding the wall until his hands are bloody. When Mira finds him, he's weeping like a child, and the episode ends as he cries on her shoulder.
When Oenamaus is about to die in the pits, he hallucinates his younger self and Titus looking at him sadly. Fridge Horror occurs when you consider that Titus is the first person to ever believe in Oenamaus, his only parental figure, and probably the only person Oenamaus still believes in— and he's still just a guy who bought Oenamaus to bring glory to his house in a blood sport.
When Caesar and Kore reveal how much of a monster Crassus's recently killed son Tiberius was, Crassus goes from pained but vengeful to utterly broken.
Gannicus, crucified, hallucinates that he is being applauded by a thronging Colosseum audience. For all their hatred of their enslavement, the gladiators cannot help but long for the glory of the arena and the adulation of the crowd.