Nanaly's dream in the Illusion World. Her brother is alive, food is plentiful in her village, and life is generally happy. She has to deny all of it (while her brother cries and screams that he IS real and alive) to return to the real world. Watching her cry on Loni's shoulder afterwards is quite possibly the most heart-wrenching moment in the game.
Loni's dream world is pretty sad too. It turns out Stahn was killed after Babatos used him as a hostage to get Stahn and Rutee to drop their weapons. He blames himself for years for Stahn's death and tries to protect Kyle as best as he can because of this, even though had he not gotten caught by Barbatos and used as a hostage, KYLE would have gotten killed instead.
Karell's death, and his sister Harold's reaction to it. Made worse by the fact that she knew it was coming, as Barbatos taunted her with it.
Harold: Nii-san, nii-san! Karell: Harold?...Thats odd...am I hallucinating? You always calls me Aniki... Harold: Don't speak! The wound will get worse! Karell: What's wrong Harold? Why are you...crying? Are you...being bullied again? Don't worry...Nii-chan will protect you... Harold: I said don't speak! Karell: Harold...no matter what...I'll always be...with...you...
Even sadder when you realize that this happens in the past timeline. Cue to the future, Karell's soul got kicked from the Swordian to be replaced by Miktran, the very guy he sacrificed his life to defeat, and then used to manipulate Hugo Gilchrist and caused all the troubles in the first series. You can't help feeling sorry for both the Berseliuses.
Judas's last words with Chaltier.
Reala begging Kyle to destroy the giant Lens, to which he responds with shouting "REAAAALAAAA!" as he smashes it.