Penny: Well... *sniff* T-thanks for being honest with me....
"The Helmet" has a Disney Death of Gumball when he attempted to get his helmet that was about to fall into the "dumpster's crusher". It made Anais scream at the top of her lungs.
Similarly, though the circumstances were funny, Gumball's reaction to Darwin's Disney Death in "The Phone" is fairly sad - he drops to his knees and starts sobbing.
The fight scene from "The Words" where Gumball hurts the feelings of Darwin in one of the saddest moments in the show.
Gumball:You are not my brother! You are just a pet, who grew legs!
The two make up but it's still extremely saddening to see. It reduces the two to tears and it's sad to see two friends who stick by each other through so much cry together.
Gumball thinking he murdered Idaho in "The Bumpkin" and crying over it once Idaho's family buries him.
Richard's song in "The Hero".
When Gumball thinks Richard has fallen to his death.
Gumball:He's gone... and I was laughing at him. Why didn't I tell him in spite of everything I was proud, Darwin. I was proud of him! If he were still here I would tell him, if he were still here-*Gumball notices Richard is right behind him* oh, you're here.
"The Voice" sheds some light on William. Poor guy, all he wanted to do was hang out with Gumball and Darwin.
"The Finale" shows the entire show slowly breaking down. All of their careless actions throughout the series catch up to them, and it's absolutely heartbreaking seeing just how desperate they get to make things okay again. And to make matters worse, the episode cuts offjust before the Wattersons are all brutally murdered by an angry mob made up of the rest of Elmore. It's not even a Disney Death like the series usually has - it's heavily implied that they're straight-up lynched.
That might not be the case since In October 2012, Cartoon Network announced that The Amazing World of Gumball had been renewed for a third season consisting of 40 episodes, so either the family got better, or the town simply didn't really lynched them.
Near the ending of "The Kids", where Gumball and Darwin sing, opera style, about how they are growing up. They get better in the end... though they're not sure if that's better or worse.