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.
As does Deanna's blubbering at the wake.
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.