Splinter accepting April as his daughter at the end of City at War.
Splinter's heart attack in volume 4, issue 10, and his funeral in issue 11. Seeing Splinter as a father figure in his youth, this Troper was completely devastated.
Cold, Cold Ice is a depressing revenge attempt that humanizes the Foot.
Gabrielle's death during childbirth. Casey was just starting to re-build his life without the anger and insanity that previously plagued him only to have it shattered in one blow. The silver lining is that he got Shadow out of it.
Dark Shadows. Full stop. It's set in a Bad Future with Casey Jones' adopted daughter Shadow as a scarred, hardened warrior on a flooded earth. She seeks out Raphael, her apparent ninjutsu instructor, in an attempt to unleash her rage on him and almost kill him, and Raphael expounds that what ultimately drove the family apart was something SHADOW did to Donatello (it isn't explained what), and she takes out his eye before choosing to spare him. Then it shows that this is all a vision shown to present day Raph by Time Mistress Renet - as the GOOD outcome. If Raphael doesn't train her in ninjutsu and set her down this path, she'll die at the age of 23 at the hands of The Foot. Raph makes the decision to train her.
Sons of the Silent Age, full stop. It takes place shortly after the Shredder's death, with the Turtles feeling restless and aimless, not to mention having the Foot swearing revenge against them, which would continue to haunt them for some time. While on a rafting trip down a river with Casey and April, they encounter a dying fishlike humanoid covered in radiation burns from the nearby nuclear plant, who communicates mentally with April, and reveals that she is the last female of her kind. The other four remaining humanoids, four males, soon show up and fight the Turtles, thinking they are hurting the female, but the fight fizzles out after she dies. The four takes her body back with them to the waters, doomed to extinction. The End.
And that's not even mentioning the comparison the story draws between the four remaining humanoids, and the Turtles, both doomed to extinction.
"The Path", from Volume 2 of Tales. In particular, the shot of Mikey cradling his dying cat in his arms and saying "Goodbye, friend."
Splinter:I am proud of you, my sons. Tonight you have learned the final and greatest truth of the Ninja: that ultimate mastery comes not from the body, but from the mind. Together, there is nothing your four minds cannot accomplish. Help each other, draw upon one another, and always remember the power that binds you. The same is what brought me here tonight, that which I gladly return with my final words: I love you all, my sons.
Leo and Raph's argument. It seems to be a Running Gag since Donnie and Mikey head straight for the kitchen. However it becomes less comical after Raph is knocked unconscious and Leo is fending the foot off long enough so they escape to a hideout. As they hide, Leo stays by Raph's side until he wakes up. It doubles as heartwarming but you can feel the guilt Leo is going through since his brother almost died after their fight. When Raph wakes up he is most overjoyed.
Given a gut-wrenching Shout-Out in the CGI film when Leo and Raph have their showdown on the rooftop. Raph nearly kills Leo before realizing what he almost did and runs off in tears. Leo is immediately captured after that, Raph returning just after he is taken. Raph is the most adamant about recovering Leo, and the reconciliation between the two is a prime source of Manly Tears.
When they learn the truth of their origin in the second movie: they are essentially 4 orphans who have made a family with their adopted father, and upon learning the truth of where they came from are told quite bluntly by the equivalent of their biological father that they were accidents and were never supposed to have existed in the first place and are essentially the first, last, and only of their kind in the world. Ouch.
Splinter and Danny's conversation while the former is kept prisoner at the Foot Clan base.
Splinter: And have you no one to go to, Danny? No parent?
Danny: My dad could care less about me.
Splinter: I doubt that is true.
Splinter: All fathers care for their sons.(He trails off, clearly thinking about the turtles.)
Splinter's flashback to the death of Tang Shen and his loss of Miwa.
The ending to "The Gauntlet." Seeing all the turtles actually lose to Shredder.
The ending to "New Friend, old Enemy"
Timothy/Pulverizer, the well-meaning but comically inept Turtle fanboy. He wanted so desperately to become a mutant like his heroes... It turns out that he does - in the worst way possible, becoming nothing but a gelatinous blob filled with organs - this universe's version of Mutagen Man.
Pretty much everyone predicted that Shredder's adopted daughter Karai was actually Hamato Yoshi's biological daughter, Miwa. This didn't stop Splinter's reaction when he found out the truth from feeling like a punch to the gut for viewers everywhere.