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Tear Jerker: That Mitchell and Webb Look
The series 4 finale ends with a heartbreaking "sketch" featuring an elderly Sherlock Holmes with dementia. Watson spends the whole sketch pretending that Holmes is as sharp as ever while visiting him at a nursing home, but at the end Holmes reveals that he does recognize his own mental degradation.
Made all the worse because it starts off amusing before becoming increasingly depressing and ending with Holmes and Watson in tears
The "Remain Indoors" Quiz Broadcast sketches have quite a few as well, as things become increasingly hopeless and the host's Stepford Smiler act starts to slip more and more. The finale has him quietly holding the blind last surviving contestant's hand as they face the possibility there's no one else left alive ANYWHERE after having seen the formerly-human cannibalistic Them all die for no apparent reason.