It'll probably fly over your head the first time, but during the cutscene after you battle various enemies summoned by Ganondorf after the Ancient Minister's Heel-Face Turn, the camera shows that the R.O.B.s eyes are turning blue before they close their eyes for the final time. Also, before the next playable section, while the rest of the characters are running, Donkey Kong has to carry the playable R.O.B., who also has blue eyes at this point. Throughout the game, it's seen that their eyes turn appropriate colors depending on what's happening, such as going red when Ganondorf takes control of them. So when they go blue... they're pretty much crying.
Watching one of the R.O.B.s waved goodbye to the Ancient Minster right before getting blown to smithereens.
To put that scene into more detail, the Ancient Minister is attacked by Mario and Link, with Pit, Yoshi and Kirby not far behind. A group of R.O.Bs come in to help their master and hold the heroes back. As the Minister prepares to leave, he looks down and notices another R.O.B clinging onto him, attempting to drag the Subspace Bomb down to the ground. He succeeds, then he falls with the bomb but his head breaks off. As two of the remaining R.O.Bs activate it, a third turns to the fleeing Minister, doing the aforementioned wave. The bomb then explodes, showing in full detail the R.O.Bs being pulled in and torn apart. ...Wow.
Mei Ling: Marth was betrayed by his most trusted friend. I can't imagine what that feels like... Snake: ...I can.
Everybody trying in vain to stop the Island of the Ancients exploding, and combined with the aforementioned Heel-Face Turn.
All of the characters you obtained after the Meta Ridley battle travel to Subspace where they meet The Man Behind the Man. Tabuu unleashes an attack that instantly turns everyone into trophies. The scene plays in slow motion as each character are floating from the attack, with shock and fear in their eyes, and are turned back into trophies one by one. You then see all the characters in trophy form lying on the ground as Tabuu begins to absorb the Smash Bros world. After that, you see Luigi, Ness, and King Dedede who are also trophies and it seems all is lost until Dedede's badges revive Luigi and Ness. Ness then revives King Dedede and he glomps him and Luigi as thanks before they go and rescue everyone. OK, so death doesn't totally exist in the Smash Bros world for the main characters, but this comes close for me to welling up.
The Ancient Minister has a horrible story, really. His best friend forces him to use his people (the R.O.B.s) to drag the world into Subspace, sacrificing many of them in the process. When the heroes and the bombs have killed most of the R.O.B.s, Ganondorf orders the remaining ones to blow up the Island of Ancients. When the Minister tries to stop them, Ganondorf provokes them to attack their true master with the press of a button. As the heroes left the island, they brought with them the Ancient Minister, the very last sane R.O.B., and just managed to escape the complete and permanent obliteration of the Island of Ancients, with every last one of the Minister's people and comrades. And, finally, close to the end, the Minister's best friend is mortally wounded when he attempts to attack The Man Behind the Man.
In the Subspace Emissary, when Lucas is running away from the Porky Statue. The moment he trips and looks at the statue... You can almost see him thinking: "Crap, not again!"
The worst scene with Lucas is when Ness gets turned into a trophy.
Towards the end of the Robin and Lucina trailer, a beaten-up Chrom gives a very disheartening quip: "I suppose I'll get my chance... another day...", as he watches Robin and Lucina fight Captain Falcon before going unconscious. It's alleviated a bit with the reveal that he's in as Robin's Final Smash, but you can't help but feel bad for the guy not being able to actually fight against Marth, Ike, or the other Nintendo greats.
It seems the devs knew he was a popular request, but since the roster had been finalized well before, they wanted to make it up to the fanbase. They really do care!
Lucas's Japanese Trophy description in Smash Bros. 3DS isn't actually about the character. Instead, it goes on to say how Lucas may well have made a family and have lived a happy life... then says how he and Ness may well be kids forever to MOTHER fans. Not bad at first, until you realize it's referring to how we'll probably never see another MOTHER game, and never see how their lives went... although the localized Trophies are slightly more upbeat about it.
"Lucas used to be weak-willed, and cry all the time. However, he overcame unimaginable hardships, and must surely be out adventuring somewhere right now. Or perhaps, he's found a partner and made a family of his own... No, no, that feels too soon. To fans of the MOTHER series, both Lucas and Ness might be young boys for all eternity."
The hauntingly beautiful Magicant Theme playing in the background makes it that much worse.
Duck Hunt's Star KO has him whimpering in the background.
In general, most Star KO voice clips that are of cute characters sounding terrified (Lucas and Bowser Jr., for instance) will make you feel bad if you're the one who landed the finishing attack on them.
When female Robin suffers a fall from the stage, her cry sounds very painful (probably because it is more realistic than other over-the-top female deathcries, such as Zelda or Palutena) and it makes you feel bad if you are using her.
One of Lucina's two K.O. screams is a lot like female Robin's aforementioned scream in that both sound like they're really hurting upon their falls, but Lucina's is also short and rather abrupt, which may indicate how much more painful it is for the heir to the exalted blade to fall in battle. It really may not help matters at all if you're playing as Lucina against a Captain Falcon player...
"Gazing up at dark storm clouds gathering in the sky, many children must have once wondered if the Pokémon they saw in the second movie was in the clouds. An innocent and children dream, perhaps... but even today as adults, the sound of thunder might just bring back memories of this Legendary bird Pokémon."
Sure, it's just a game, but if you had a favorite character in a previous installment who didn't return in the following one, or had a character you really wanted to become playable but didn't make the cut, then it's natural to feel disappointed. The Broken Base for some characters (Ice Climbers, Ridley, and Mewtwo come to mind) only makes it worse, with many detractors mocking character supporters.
On the other side, though, finding out a beloved character is making his debut or unexpectedly returning can bring tears of joy to your eyes. Especially watching reaction videos on Youtube and seeing people literally scream in joy. One Lets Player literally did cry after a moment of stunned silence when he found out Mewtwo was going to be in Smash Bros 4.
Every previously playable Smash Bros character is commemorated in the 3DS version's trophies. There's Mewtwo, and Pichu, and the Ice Climbers, and Wolf, and Lucas, and Pokemon Trainer, and Ivysaur, and Squirtle, and... and... where are Young Link, Roy, and Snake? (Dr. Mario also lacked a Trophy in Brawl, but the blow is lessened a lot by him returning in the next installment.)
Thought that the Smash Bros games don't have canon? On the Punch-Out stage, ROB's title is The Last of His Kind. Ouch.
If you are a fan of Pikmin and main Olimar (or Alph) losing Pikmin can become this, especially when he is knocked out from the stage, as this cause all Pikmin to die. This can also be applied when they are killed by other players (or even Olimar himself, in order, for example, to block projectiles). Try to pintpoint it, they are putting their lives in peril just for letting Olimar win matches and even if he uses them as MeatShield, they will keep on helping him.
On top of that, their new up special in Super Smash Bros. for the 3DS and Wii U encourage throwing away Pikmin to lighten the load.