Warning: Spoilers Off applies to these pages. Please proceed at your own risk.
Finding out the truth about Elize at the Labari Hollow. She was sold to the lab when she was just a child, her parents are dead, and Teepo turns out to be an Amplifier Artifact with no conciousness of his own, he just voices Elize's inner thoughts. The way Teepo casually says "Nope! I'm just a machine!" right when Elize needs him the most is just soul-crushing, and comes as a huge shock to a player who's used to him just beeing goofy comic relief until now.
Can sting harder with this train of thought; if Teepo just states Elize's inner thoughts, and Elize has accepted that deep in her mind when she learned it, the scene is transformed into a little girl fighting her own subconscious to deny that her only friend for years was never really real, it was just her talking to herself.
After the truth is revealed about how Teepo says Elize's inner thoughts, she insults Leia and essentially calls her The Load. She tries to shrug it off but it's easy to tell it hit her where it hurts. It gets worse later when the group has to escape Kanbalar by activating several door switches at once with their mana and Leia just can't make hers work. She breaks down into tears as she's trying and laments that she doesn't want to hold everyone back anymore.
Leia trying to push Jude on after Milla supposedly dies and he enters into a state of depression, not resisting at all when Alvin arrives to kill Jude in exchange for Muzet offering to return him back to his home of Elympios. The poor girl even has to protect him from Alvin after he returns to kill Jude and gets shot in the process.
It was especially hard to watch, considering how Jude has always taken things in stride and moved with purpose. To see him broken down and Leia vainly trying to fix things and get him to eat was rough.
Hell, the fight itself was hard. It was clear that Milla's death pushed all of them over the edge.
Alvin's mother is sickly and forgetful, every bad thing he's done was for her, including blackmailing Isla to continue looking after her. These events would eventually come back to haunt him...
Presa and Agria's death scene. Right until the end, Alvin and Leia just can't get a break.
Agria's death was especially sad because you really get to see how broken she was. When Leia grabbed her hand, Agria had a look of complete bewilderment as if she just can't accept that there are any good people in the world anymore. You can hear her breaking down all over again in her next comment before kills herself.
Agria: Some things in this world you just can't fix, no matter how hard you keep try to!
And in a skit later on, after the party finds they're in Elympios, Alvin reveals Presa hated her real name, because she was abandoned by her own family. "So when I couldn't grab her hand, I was everything they said and a whole lot worse..." Ouch.
Gilland's death. Shortly before he passes, he says that all he wanted to do was to restore Elympios. Milla says that they brought it upon themselves by using Spyrix, to which he screams "That wasn't me!" And it's true. Elympios has been using Spyrix, and growing closer to destruction, for 2000 years. Gilland was only born a scant few decades ago. Imagine being born into a dying world, and being blamed for what has been happening for millenia.
The ending. Sure it leans more toward sweet than bitter, but it's still a huge tearjerker nonetheless. Especially when Jude and Milla are holding hands before they have to say goodbye to each other and when Milla is crying and Jude telling her not to cry.. The beautiful music helps a lot too.
"I guess he really hates me now, huh?" The context of that line (Jude's can't forgive Alvin for shooting Leia) makes it bad enough, but Matthew Mercer's delivery makes it utterly soul-crushing. And Elize outright says she hates him, not bothering to try and hide it.
Win a battle with Rowen and Alvin after Presa's death, and this conversation will sometimes play:
Rowen: You seem uncertain in your movements.
Alvin: Yeah, it's hard to stay focused right now.
Rowen: Alas, you must reap what you sow.
Alvin: So true...
Again, Matthew Mercer's delivery on the last line makes it so much worse.
There's a minor one at the end of the "History of Auj Oule" subquest involving Karla Outway. She's Gaius' younger sister, and while he loves her dearly, her feelings toward him is not as simple. Talking with the party helps her come to terms with what the two of them had to sacrifice for eachother, but when he goes missing, Kanbalar falls apart because of their dependence on him, making his efforts in Karla's eyes feel like a waste. She's normally pretty stoic and generally quite nice, so watching her break down and then throw a tantrum demanding her brother back is pretty painful.
Wingul's death. Everything he's done has been for Gaius, and he even dies for him. Made worse when you consider that Gaius fails in his mission at the end, so everything Wingul died for pretty much nothing.
Everything about the Chimeriad and their deaths in general. None of them are pure evil, they're all truly loyal to Gaius and his mission, and they all have rather painful pasts. In any other game they'd be a fantastic group of main characters, and their loyalty and, essentially, true friendship to Gaius is touching. By the end of the game though, all of them are dead and their deaths leave scars on multiple members of the main cast that last into the events of the second game. It's hard not to feel for them, or for Gaius who loses his most trusted companions, one of whom had been with him for over half his life, essentially for nothing because he failed to beat Jude and Milla. Ouch.
Muset's breakdown after the final boss battle. It makes you feel really sorry for beating her, as she was really only fighting out of a desparate need to connect with someone. Fortunately Mila offers her her hand, and tells her if she really wants to feel needed, she should come with them.
Even before then, we watch as she slowly breaks down because Maxwell has forsaken her. She slowly grows more and more desperate until she begs Gaius, who is her enemy, for a purpose.
Finding out that everyone at Hamil had been killed, frozen solid according to the Mayor (who later died in front of Elize). Even if they weren't the nicest of people, they were a small frontier village that didn't deserve to be wiped out like that.
