For all the flak it's taken, Data's death counts as a tear jerker. While Jerry Goldsmith's score definitely helps, seeing the other members of the crew so solemn and quiet afterwards, and in one case, burst into tears, really hammers it home that he's gone. It's even harder for people who grew up watching the show, and subsequent movies, for someone they followed through all the episodes, and all the adventures, is now gone forever...even if he does eventually come back.
The shocked look on Picard's face when Data slaps the transmitter enhancer on him really sells the scene.
The scene when Data deactivated B-4 after rescuing Picard from Shinzon. Since he's an old prototype of Data and Lore, he wasn't programmed with everything that his "brothers" learned. He obviously didn't realize that he was betraying Picard and everyone on the Enterprise by giving Shinzon important information. He sounds so scared and childlike when he asks Data why he's being restrained and being deactivated.
Just imagine how Data must have felt. He had found his long-lost "brother" and he had helped reconstruct him, just like he did with Lore. He had to shut down another sibling because of what he had done.
Picard's last attempt to convince Shinzon to do a Heel–Face Turn. The look on Picard's face after Shinzon thoroughly rejects his plea is heartbreaking, especially when you consider Picard knows that that was what he would have become in Shinzon's circumstances.