Donny's breakdown. All the more compelling because up to that point Donny had been carrying water of Mengsk like it was going out of style, and even Kate, who would normally jump at any chance to get back at Donny for being a dickhead to her for the majority of the story, chooses not to rub this one in his face:
"I had a brother on Tarsonis, I had a brother...."
From the next-to-last cinematic: M. Koiter.note For those who don't know, Michael Koiter was an artist working at Blizzard on both World of Warcraft and Starcraft II. He died at 19 of heart failure.
Though you may have had a pretty good idea that something like it would happen, you probably still felt bad when Raynor had to kill Tychus to defend deinfested Kerrigan.
The entirety of In Utter Darkness, with the Terrans technically extinct and the Protoss holding out in their last base, thanks to all that hammy dialogue. The thought that you must technically lose (let the Zerg destroy your troops and base) once the Archive is sealed and the Zerg kill counter has reached 1500 to win didn't help either.
In particular, the Protoss being informed that, by killing Kerrigan, they doomed the universe.