The death of Louie; Mimi's stroke, deteriorating health and eventual death; and a lot of Abby's autobiography.
Louie's death is particularly bad because he doesn't simply die of old age. He had to be put down. Readers went through several books seeing Louie the collie as an energetic, happy, beloved family pet and see him slowly become weak and sick to the point where the Thomas-Brewers admitted that they basically had to put him to sleep, because they couldn't bear for Louie to be in such pain. There's tons of little moments throughout, too, like David Michael trying to keep a half-blind Louie from going down stairs and getting hit in the eye for his trouble, David Michael opting to sleep downstairs with Louie during his last night home, the funeral...
Speaking of Mary Anne, just the fact she grew up with a dead mother, had to contend with several Mother's Day projects, her Father's overprotective-ness, her relationship with Logan, her attempts to be a very good girl, she loses a (non-BSC) friend to a freak accident, she can be the butt of some jokes due to her meek nature, and her house burns down.
She even later finds out there was some contention between her father and maternal grandmother, which produces two more Woobies, the father who lost his young wife and is trying anything to avoid losing his daughter and the grandmother who fears losing her grandchild after the loss of her daughter and later her husband.
Not to mention that she starts going to therapy in later books and it's strongly implied that she's depressed.
Jessi's baby brother, Squirt, getting hurt in a car wreck.
Stacey having to choose between living with her mother or father. She knows one of them will be hurt either way.
Claudia: despite being artistic, having a creative take on her clothing, reading Nancy Drew novels, a good caregiver, displaying good sleuthing in the Mystery books, and keeping her head together in very dire situations thinks less of her intelligence since she isn't as studious as her older sister.
There's something about the series' concluding that hits hard: as cheesy, unrealistic and downright irritating as the books could be at times, waving goodbye to these characters feels like leaving old friends behind. Or maybe that's just the nostalgia value.