The ending to "Apokolips...Now!" has Superman crying within the episode. Not that the ending wasn't such for the viewers as well...
When Dan Turpin is killed. It's just so freakin' senseless, petty, and above all completely out of nowhere.
"Good-bye, old friend. In the end, the world didn't need a Superman...just a brave one."
The otherwise nightmare-inducing Toyman's pop-up book, which details how his innocent, kind-hearted father was tricked into being arrested for mob activity, forcing his son to live a ruined and lonely childhood.
"The boy moved from foster home to foster home, like a little toy that nobody wanted. A childhood is a terrible thing to lose, Ms. Lane..."
The alternate-Superman in "Brave New Metropolis" in his interactions with Lois.
"You never knew how I felt about you. I didn't know... until you were gone."
The first episode featuring Bizarro ends with him sacrificing himself to hold up Luthor's collapsing clone lab long enough for Superman to save Lois Lane. While he didn't stay dead, it was certainly a powerful moment, especially since it meant Bizarro accepting that he wasn't the real Superman.
Superman discovering the unimaginable magnitude of Brainiac's crimes, and collapsing to his knees in a hologram of one of the dozens of worlds he's destroyed, complete with a powerful circling camera effect.
The end of the whole series, with Superman's brainwashed attack on Metropolis having turned much of the planet against him. Thank god the DCAU continued so this didn't become the actual ending for this version of him.