Bobbi dying in Clint's arms in Avengers West Coast #100. He just clings to her after she dies while his teammates stand around, unable to do anything. It's so bad that he leaves the team and refuses to go back, unable to return to the place where they first lived together and to people who didn't avenge Bobbi after she died.
War Machine: So you're not going back?
Clint: To the Avengers? No. I mean, what's the point? It's not like they avenge anybody.
Especially the funeral. "I miss your battle cry." And then the next page is a full spread of Cap and The Avengers with the Catch Phrase "AVENGERS ASSEMBLE!" on it... *sniff sniff*
The now-iconic panel of his bloody corpse lying on the courthouse steps. The chalk outline still there a year later. Thor knocking out all broadcasting technology for a moment of silence on the one year anniversary. The Fallen Son book.
"It wasn't worth it."
When the above (and "The Confession") are taken into account, the The Avengers/Invaders miniseries (which takes place between Steve's death and resurrection is heartbreaking. Tony's reaction to seeing Cap on his screens... Past!Cap telling Iron Man that he admires him for sticking to his principles despite having to go against his friends... It's kind of like being punched in the heart. A lot.
Thor #11. Using Mjölnir, and bellowing "Avengers Assemble!", Thor summons the soul of Captain America. We then learn that Cap's soul is trapped between the worlds, and it is cold. On top of that, he can now feel the pain of the world and of his friends, and constantly bombarded by the sounds of people attempting to use his death for their own agendas. But when Thor asks him if he wants his death avenged, Cap replies:
No... there has been too much pain and death because of what happened that day. I won't add to it. I have no debts you need to settle, and no regrets.
The Confession. 22 solid pages of tearjerker, ending in a devastating splash panel of Captain America's corpse, with Tony Stark kneeling beside it whispering, "It wasn't worth it."
There is also the the double splash panel of a Holocaust survivor's memory of being in a Nazi death camp, and Captain America leaping into battle to liberate herself and her people.
The What If? version of Civil War also does contain one thing, from Iron Man's perspective. Uatu arrives and gave him a vision of HOW it was possible to avoid further bloodshed and make good use of the Superhuman Registration Act, without killing Cap... if Tony just backed down and stop being stubborn. Cue massive My God, What Have I Done? on Tony as Uatu left him shouldering all the burdens that he could've avoided in the first place.
Avengers: The Initiative #26. We're introduced to a couple of D-list villains, Johnny Guitar and Doctor Sax, whose only claim to fame is that they'd once fought Dazzler. After being recruited into the Shadow Initiative, Johnny learns that they're nothing more than cannon fodder, and their superiors are going to be intentionally sending them on suicide missions without the knowledge of the recruits. Going to visit Trauma, he learns that because of the way benefits and pensions are written, his family that he's estranged from will be well taken care of in the event of his dying in the line of duty. He decides to go through with it, but not before intentionally injuring Doc so he'll be sent home, and thus spared. Johnny's killed in the fight to reclaim Prison 42, and his and other deaths, as well as the sudden arrival of the 'big names' of the Initiative right at the end of the battle, suddenly make the rest of his unit aware of exactly what they are to their bosses.
The Wasp's funeral was hard to bear, especially the recently returned Hank Pym, who had spent years as a Skrull POW, giving the eulogy.
The Vision's introductory tale ended with a heartfelt speech from Pym imploring the other Avengers to not only forgive the Vision, but to admit him into their ranks. It culminated in the Vision's iconic panel, the android/synthetic man crying.
Another dead Captain America issue, from an earlier era. Stars & Stripes Forever is many panels worth of heroes and villains and a few random civilians reacting to Cap's death, culminating in a eulogy by the Falcon. (They Never Found the Body and he got better, but it's still sad.)
Hank Pym at the end of Secret Invasion is subjected with many Tear Jerker moments, especially when he learns that his wife Janet van Dyne has died. Him being told of the recent events, and his eventual angry outburst chewing out Tony Stark is pretty sad on many levels, for both sides.
"Where's Janet?" The Mood Whiplash as everyone goes quiet, having been celebrating the rescue of the replaced heroes just one panel ago, is like a punch in the face.
The ending of the Avengers vs. Atlas, in which an alternate version of the original Avengers team (Cap, Hulk, (Gi)Ant-Man, Thor, Wasp, and Iron Man) willingly sacrifice themselves to stop a time-virus from taking over the timeline they've found themselves stuck in. "Talk about nuttin' up," indeed.
Avengers Disassembled has a few, notably the deaths of Scott Lang and Clint Barton, but also The Thing fighting against his friends and trying to get to the wreckage of the Kree ship, because Clint deserves a proper burial.
The remaining Avengers, technically no longer Avengers, paying tribute to all their friends who have died. They wonder if anyone bothered to come, only to look outside and see a huge crowd, with signs paying their respects to the Avengers and the people they lost.
The elderly German man who refuses to bow to Loki. It gets even worse when you realize that the man is old enough to have been alive in Nazi Germany (it's suggested by some fans he might've even been a Holocaust survivor). He's seen this happen before and he will not let it happen again.
Banner tells Fury he can't be killed, because he's already tried putting a bullet in his mouth - "the other guy spat it out". The man's been driven to actual suicide, and has had even that release denied him.
The others' reactions is what really sells this as well. Every single last person is struck silent and even Nick Fury turns to look at him in horrified disbelief.
Earlier than that, Banner tells Black Widow that he doesn't always get what he wants... while offhandedly rocking a baby cradle. Ow.
Natasha desperately trying to calm Bruce down so he won't hulk out: "We're gonna be okay. All right? I swear, on my life, I will get you out of this! You will walk away and never, ever..." She knows it's her and SHIELD's fault he's here, and that if he transforms not only will she probably be killed, but so will he, through no fault of his own.
Well, Bruce can't be killed — not easily, anyway. On the other hand, the only alternative from the standpoint of threat neutralization is his lifelong captivity. Which is worse.
Right before he finishes transforming, the helpless look he gives Natasha, a look that says "I'm sorry, I'm so so sorry...."
The Death of Agent Phil Coulson. We just spent four movies getting to know the guy through supporting roles and cameos and he even gets fleshed out somewhat in the movie, only to be summarily stabbed by Loki. His final line to his boss is an apology for dying and telling Nick that "[the team] needed something to....*dead*". That being said it's also a Moment Of Awesome for him, as he delivers a "The Reason You Suck" Speech to Loki and then blasts him with a BFG.
Thor's reaction to it as he was inside the cage and helpless to stop it. Especially since he was grateful to Coulson for making sure that Jane Foster was safe.
The trading cards. Just... the trading cards. Even if that was a ruse by Fury.
Especially Captain America's expression when seeing them. You can see that he's thinking that he let a man who believed in him down in the worst way possible.
Tony: And you pissed off one other person. His name was Phil.
Tony doesn't count himself as one of Earth's Mightiest Heroes. That just makes it worse.
Tony looking at the blood on the wall where Coulson was leaning after he was stabbed and then this angry, desperate line to Steve:
We are not soldiers!
The really heartwrenching part is that when Steve asks Tony if he had ever "lost a soldier." Tony's above reaction is as powerful as it is because while he hadn't lost a "soldier" he did lose someone close to him: Yinsen. And his angry admonition of Coulson that he "should have waited" can apply just as much to Yinsen's death. Tony is blaming himself once again for the death of someone he cared about.
Even after all that Loki has done and will do over the course of two movies, Thor still considers him family and tries to protect him. Culminating in a scene where Thor embraces his adopted brother and asks him to "come home," it makes Loki's cold rejection of him and the resulting pain in Thor's eyes all the more heartbreaking to watch.
You give up the Tesseract, you give up this poisonous dream! You come home...
What makes it worse is that you can almost see Loki's eyes get unusually wet when he asks Thor whether or not he was mourned. And when he stabs Thor in the stomach in the climax, even smiling away, a tear escapes his eye. Perhaps there is some part of him that regrets what has happened...?
Following the quote above, that awful moment when Loki, the God of Lies, can't even pull up a convincing scathing reaction to that line. He stares at his brother. He tries to smile, to laugh it off, but it dies almost seconds afterwards. He's reduced to addressing another issue to try and cover it up.
This might be minor, but I can't help tearing up when Loki says he has no home. Just the idea that he never felt like he belonged somewhere ...
Considering that what he went through between Thor and The Avengers changed him from a villainous yet sympathetic person to a twisted psychopath with little empathy.
Loki tricks Thor into the holding cell and deliberately drops him down thousands of feet to Earth, while telling him that this experiment will test whether or not Asgardians are immortal. Thor doesn't try to reason with Loki. Thor actually doesn't do anything but stare at Loki, who is coldly and casually about to try to kill him - yet again. He simply blinks back tears. And once he lands on Earth, he takes a long moment and just clenches his fists. Just... ow.
It's more poignant when you realize he's trying to call to Mjölnir, which isn't responding. Hearken back to the Thor film where Odin casts a spell on the hammer that it can only be lifted (or recognize Thor as its master) by one who is worthy. Thor, clearly conflicted about his brother, has clearly lost his sense of purpose.
Thor: Loki is a prisoner.
Nick Fury: So why is he the only one on this boat who wants to be here?
About the above comment, it's not that Mjölnir wouldn't come to him. It's that he couldn't focus on calling it to him. He was so distracted by his grief over Coulson's death, and being helpless to stop it that he had shut down for a moment.
Also that Thor truly considers himself a hero... but after Coulson's death, he feels like he failed, and thus he isn't worthy of holding Mjölnir.
Tony's Heroic Sacrifice. He's flying the nuke into the wormhole, calls Pepper, there is a long moment as the phone rings and Pepper doesn't pick up, the line goes dead, the suit goes dead, Tony closes his eyes and lets himself fall, all while tear-jerking music plays. He doesn't die, but still.
Even worse when you find out in Iron Man 3 a major plot point is that he's having severe anxiety attacks just from the mention of New York and anything that happened in this movie.
Let's remember that in Iron Man 2, he was dying and didn't get a chance to tell her then, either.
Oh, and the reason Pepper doesn't answer her phone? She's watching the TV report on the fight in Manhattan, unable to hear the phone, horrified and knowing Tony is somewhere in there.
Give you one worse. Can you imagine what she must have been going through when she saw her one missed call?
Gets even worse when you remember Cap'sHeroic Sacrifice. He went down protecting New York City from the devastation of a bunch of massive bombs... and he had his girlfriend's picture on the dashboard on the entire descent to comfort himself in his last moments. Tony has Pepper's picture up on his heads-up display during the entirety of what seems to be his last flight. It's a heartwarming testament to Tony's devotion to Pepper and a Not So Different moment between him and Steve, all at the same time.
That Tony is visibly scared out of his mind. He has at least one out— he can try to just shove the missile into the wormhole and hope for the best—but he keeps going, into almost certain death, because that's what heroes do. And then he takes everyone out for schwarmabecause that's what Tony Starkdoes.
There's a very brief moment right after JARVIS asks if Tony would like him to call Pepper, and Tony says, "Might as well." The camera lingers on Tony for just long enough to see the stunned, blank look on his face. JARVIS knows that these are likely Tony's last moments, and Tony himself is realizing the same thing.
The scene where the nuke is launched at Manhattan. Hawkeye, Iron Man and Hulk are all, for various reasons, out of the fight, with a dramatic soundtrack growing bleaker with each hero's removal. We see the fighter pilot launch the missile right at Manhattan—"detonation in two minutes, thirty seconds, mark"—and the city to be destroyed, the portal still looming overhead. As the music reaches its crescendo, we cut to Captain America and Thor (whom we haven't seen for a while now), the last two Avengers still left fighting, desperately fending off Chitauri infantry in the streets. In that moment, the sense that they're all about to be killed by the nuke now contends with the sense that these two been left behind. Fortunately, it's only just that, a moment, as we see that Cap and Thor most certainly have each other.
The wall of remembrance shown in the aftermath videos, reminding us that even though the Avengers won the day, a huge number of ordinary people still died in the battle, despite all that the heroes could do.
Steve's first appearance, where he's working the heavy bag at an old, empty gym. He starts having flashbacks about the war, the Howling Commandos, and his last words to Peggy Carter, and his blows grow more vicious and more rapid, until he literally knocks the bag off the chain.... And then we see that Steve has had multiple heavy bags prepared. This has been going on for some time, and Steve has come to expect it.
Everything about Steve, frankly, is a tearjerker, if one stopped to really think about it.
Tony's snarky dig about Captain America ("That's the guy my dad never shut up about? Maybe they should have kept him on ice.") becomes a tear jerker if you recall what he says about his father in Iron Man 2 - "He never told me he loved me, didn't even tell me that he liked me." Along with their vastly different personalities, it also goes a long way towards explaining Tony's initial attitude towards Cap.
The deleted scene (which would have been his introduction) where Steve is wandering around present day: seeing old film of him and his men together, looking at the files of his men ("Status: DECEASED") and Peggy (which says "Status: RETIRED") and wondering if he should call her, doodling in a cafe, and then just sitting on a train on his way to the gym. Through this whole montage, he's alone. Aside from Stan Lee saying to Cap to ask the number of the waitress in the cafe, it's mostly depressing.
And apparently Whedon wrote him reuniting with Peggy as well. Which would be equally depressing.
Captain America's vicious verbal putdown of Tony, telling him that he knows nothing about sacrifice and teamwork and thinking of others. Did it need to be said? Yes. Did it make the look on Tony's face and his halfhearted attempt at a comeback any less heartbreaking? No freaking way.
Equally heartbreaking was Tony's crack about Steve being "a lab experiment at best". Now remember how Steve had started out as an 80 lb weakling that few looked at twice, and how even after the serum he was cast aside and used as a propaganda mascot. Then remember everything he had sacrificed to save New York, only to wake up to a world where the only son of his old friend tells him that "everything special about you came out of a bottle."
While all the other SHIELD agents are celebrating after Tony takes the nuke through the portal, Fury starts to smile, but ends up looking sad in the midst of all these celebrations. Why? Because they've won, but he knows what it all cost: Coulson (his one good eye) and, as far as he knows at that point, Tony.
Black Widow revealing that Loki's words from earlier did indeed affect her more than she'd like to express.
Clint: You're a spy, not a soldier. Now, you want to wade into war. Why? What did Loki do to you?
Natasha: He didn't... I just... (visibly uncomfortable)
Natasha:I've been compromised. I got red in my ledger. I'd like to wipe it out.