Nitori Gets Caught In The Flow has its own soulcrushingly painful take on the story of Kaguya and Mokou's feud. Mokou's Father secretly never loved her and tried to make use of her bond to Kaguya to marry the Moon Princess, so Kaguya decided to humiliate him and let Mokou hate her. This fanfic goes even further with the sadness, as a time-displaced Nitori futilely tries to change her destiny after making friends with her. To twist the knife even more, when Nitori returns to present-day Gensokyo, Mokou has somewhat forgotten her after the thousand-or-so intervening years. Luckily, they at least get a happy ending.
Yuyuko's backstory is just as bawl-worthy. Her ability was, at first, to manipulate spirits of the dead. As time went on, it grew stronger and stronger, to the point of being able to will death onto mortals. Terrified of her ability, she committed suicide, and her body was used to seal off a misfortune-bringing tree, which later lead to the events of Perfect Cherry Blossom.
The fan manga Touhou Tonari focuses on her and Yukari's back story and as one might expect, it is heartwrenching.
Parsee Mizuhashi. Jealousy is a very strong emotion, as anyone who has felt it can attest to. Feeling it for a just a short time can bring great pain to the person, and Parsee has to feel it for thousands of years as part of her curse. Imagine how much pain she is in now, and how many times have a person crossing her bridge felt pity for her just for her to shrug it off again and again, out of, well, being jealous of all of them for even showing pity, even if she doesn't even need or have to. And she's stuck with it, forever.
Koishi Komeiji's backstory is also pretty saddening. Like her sister Satori, she was born with the power to read minds, however she hated the fear it caused people towards her, so she closed her third eye to prevent herself from reading other people's minds. Sadly this included herself, denying her to ability to think, leaving her as an Empty Shell who can only communicate to people through her subconscious. Even worse, unlike her sister, she travels around Gensokyo and whoever looks away from her after seeing her will forget they ever saw her, meaning that she practically doesn't exist except to the people who have prior knowledge of her. And if that wasn't enough, her dialogue after her fight with Reimu and Marisa implies that she is starting to feel regretful.
While this is a fanwork, Cool&Create's S Complex puts a really tragic spin on the less memorable Aki sister, Shizuha. She loves her sister dearly, but feels left out and lonely because Minoriko is constantly being invited to feasts. Harsh words are said, and Shizuha's heart is broken.
The final stage of the fangame Concealed The Conclusion, where it is revealed that Reimu is dying, and when she dies, all of Gensokyo will go with her. After battling through countless foes, Marisa, perhaps Reimu's greatest friend, has to face her down in one final danmaku duel.
For those of you how are tired of a Sakuya dying, and like their tear jerker with a side of nightmare fuel; try this.
Yuri couplings get them, too. A video of one with Alice.
Patchouli and others do not seem to try very hard to get their stuff back from Marisa. Leave it to fans to make Marisa's own rationalization that she won't live long enough for them to miss anythingthat much more depressing.
Amida Kuzu's long line of Mokou doujins includes one where she inevitably outlives Keine.
Speaking of Mokou and Keine, Chiisana Koi no Uta more or less shows how much an immortal can grieve when they lose a mortal loved one.
COOL&CREATE puts a tragic twist on the shy kappa Nitori, when she falls in love with a human.
You may know "DREAM" shows that the Prismriver Sisters must have grieved when Layla reached the end of her mortal life.
The story is as follows: Reimu, as part of her duties as the Shrine Maiden of Hakurei, must marry an unknown man and bear a child in order to maintain the Hakurei bloodline. What makes this feels-inducing is that the story is told from the point of view of Marisa, who considers Reimu a best friend in this story, and must deal with Reimu growing up and having less time to spend with her.
Very early into the series, Reimu's mother passes away. The look on Reimu's face is heartbreaking.
Not only that, the story hints that the shrine maidens life is very short and needs to have a child early in order to ensure the bloodline and the safety of Gensokyou continues.
From the 1.5 hours or so of fanvid of doujinshi Touhou Little Reimu is one of the most tearjerking, heartfelt stories ever encountered.
In the author's own words, "This is a story of when Hakurei Reimu was still young and the man-eating youkai (Rumia) was big." It can be split up into two parts: the heartwarming story of a newly formed family and the emotional spiral out of control as Rumia's man-eating instincts take over, leading to death of the elder Hakurei miko, memory wipes, and a load of DAMN YOU YUKARI!!
Luckily, there is the sequel, that ends up with a Bittersweet Ending: Rumia regaining her memories and adult-like appearnace and fighting against Reimu. After Rumia is defeated, she begs Reimu for forgiveness for having killed her mother years ago before she fades away. And all the while Marisa and the others are bawling their eyes out. Ouch.
The fangame Touhou A Live Fantasy Chapter: Lots of people die, and that's BEFORE the end of the scenario. Also some in the earlier chapters. Everyone save Shang, Alice, and Reisen die aboard the Momento Mori. Kaguya is assimilated by liquified humans at the end of Mokou's chapter, Anyone fed the Slave Drug is turned into a zombie that requires specialized air tanks to live, and to power Patchouli Robo; the Marisa Yukkuri sacrifices itself using its' filling to make fuel. Also the humans whose flesh makes Yagokoro Rapid Drugs (Fully heals party). And the humans who are hooked up and drained of their life force.