Let's get started with Comissar Yarrick, after a great, bloody battle of Armageddon. Some would say he stood stoically over the bodies of his comrades. Those who know him would say he wept.
On the fanfic side of things, a little-known fanfic known as 'The Ballad of Gav and Bob' follows the adventures of two lovable Ogryns named...Gav and Bob. The fanfic starts out as almost the cutest thing the 40K universe has ever spawned, with Gav (our protagonist) talking about peeling potatoes with his best friend Bob, fighting 'pants stealers' and 'metal heads', and how he just loves the Emperor so huggy muggy much. Things take a turn for the tragic when an Ork sniper kills their handler, Commissar Arry. This is bad enough, but later Bob gets burned down by a pack of Tzeentchian Pink Horrors. The entire fic can be found on 1d4chan and it is guaranteed to bring a tear to even the most grizzled veteran's eye.
In general, 40K and especially the Imperium lends itself to TearJerkers; this editor feels it's the emphasis on duty, self-sacrifice, and cameraderie. You do not give up, you do not surrender, you will fight and you will die standing that others may live free. Or as free as it ever gets in 40K, but that's neither here nor there.
This Troper once DMd a GURPS game set in Warhammer 40,000 that had its fair share of these, most notably the death of the captain of the starship assigned to aid the players (one of which was an Inquisitor by that point). An acolyte opened the door into his prison cell, and closes it with a sick look on his face, not allowing anyone else to look inside.
The Imperial Guard: "We do what we do best, We die standing." Remember that they are normal humans in this darkest of settings.
The fate of Isha, the Eldar goddess of healing. When Slaanesh was created, he took Isha captive. Eventually, her cries for help were heard by none other than Nurgle and, being an affable sort of chap, he took pity on her and waged a massive war in the Warp against Slaanesh. Eventually he succeeded in "rescuing" Isha, and now he keeps her as a beloved companion. However, this is still the Chaos God of disease and corruption we're talking about, so he likes to show her his affection by brewing up new diseases and testing them out on her, seeing how long it takes her super-powered godly immune system to overcome them. It is a typical Tear Jerker for 40K: horrifying, sickening, and thoroughly heart-breaking.
A short passage in the High Elves fluff about a regiment of spearmen that held the pass at Tor Yvresse against an entire goblin horde, with about a dozen surviving when Eltharion finally broke through to reinforce them.
Promethean The Created is powered by this. You are born an unnatural horror, woven from the corpses of dead men. Nature rejects you, cursing wherever you are with desolation and misery. Humanity rejects you, giving you nothing but hatred and scorn. Even the divine fire within you flares up, drawing the attention of aberrant, failed monsters that were created to be your kind, but now seek to feed on you. In your journey doubt will take you away from your path. Embracing inborn monstrosity will become more attractive than anything else. Most of the time, you will not know what it means to have a friend, much less a lover. Every moment of your existence is miserable... But why do you persist? To follow your quest, to accomplish your Great Work — to become merely human. It's a definite tear jerker, though it can be either a heartbreaking one or a heartwarming one.
The Exodus of Alexandr Kerensky and the Star League Defense Force in BattleTech. It's quite depressing to read about these men and women, forever leaving behind the remnants of the Star League they dedicated their lives to, knowing that their hard-fought battle to liberate it from an Evil Chancellor has been for naught thanks to the convoluted politics of the Successor States trying to fill the power void left by the war.
The House Steiner sourcebook mentions the wife of one of Kerensky's aides who loved her homeworld in the Lyran Commonwealth and her husband equally greatly. When Kerensky's Exodus came, she was torn between her home and her husband. She ultimately chose to join the Exodus, but her decision came too late and she arrived at the spaceport just in time to see the ship carrying her husband leave forever. Take a guess as to what she eventually does.
