Gotham Adventures #13, in which the Threatening Trio wind up disbanding with Mr. Nice leaving the country to fulfill a prophecy by helping a young boy. It ends with him leaving into a bright light. It becomes incredibly more sad when you see the real life context: Mr. Nice had been created to resemble comic writer Archie Goodwin, who had died earlier that year; the issue was made in dedication to him.
The ending of Batman & Robin Adventures #7.
Gotham Adventures #37. It starts out with a lot of Silver Age Batman antics, only to reveal that Batman had actually been captured by the Mad Hatter and put in a fantasy dream world the whole time. When Batman gets free and asks Hatter why he'd done it, the reply is heartbreaking.
Mad Hatter: Well, because you always seemed so unhappy. Every time we met you always won, and yet it didn't seem to bring you any joy. In fact, I thought you were the saddest person I'd ever met. So I just tried to help you.
Made worse by the fact that the reason Bruce realized that the world was fake was because he felt happy. That was the thing that made him distrustful of the dream. He hasn't been happy since his parents died.
The tribute to DC artist Mike Parobeck in Batman & Robin Adventures Annual #1.
"No, Ms. Gleeson. The person you described....was never here...."
Explanation: The woman's boyfriend was Clayface, desperately seeking some normalcy in a relationship with her while plundering Gotham. Batman catches him; Clayface could escape if he took his human form, but when he sees her nearby, he refuses to ruin her image of him and begs Batman not to fink him out.
Talia to Batman, right after her Face-Heel Turn: "If I had told you, we wouldn't have had Paris...."
There's a Christmas special that features Mr. Freeze icing over Gotham with a manufactured blizzard. Dr. Leland explains that as it got closer to Christmas with the forecast suggesting no snow until after New Years, Victor became more and more agitated, until he finally broke out. When Batman finally disables him, he gives him one chance to turn himself in peacefully, tiredly demanding to know why he would cause trouble on Christmas Eve, of all days. In response, Victor points at Nora's tombstone.
Riddler: You don't understand. I really didn't want to leave you any clues. I really planned never to go back to Arkham Asylum. But I left you a clue anyway. So I...I have to go back there. Because I might need help. I...I might actually be crazy...
Victor's letter to Nora at the end of Gotham Adventures #51 after a drawn out episode of Yank the Dog's Chain involving Clayface impersonating her. Deciding that she couldn't possibly love him anymore, he says goodbye and that she's made the right choice by moving on, escaping Gotham for a life in the Arctic. Cue Nora arriving at Arkham Asylum asking for Victor Fries. To make it worse, the only reason why she hadn't gone to see him sooner is because her new husband was hiding the other letters he sent.
The three part arc in #34-36 that capped off the original series features Bruce getting most of his memories stolen, regressing him mentally to that of a 7-year-old, long before the night his parents were taken from him. Seeing him act happy and cheerful hurts when you know what's going to happen by the time it's over. Alfred's line in the last chapter sums it up:
Alfred: It's just that it's been so many years since I've seen him so... so carefree. I find myself wishing there was a way he wouldn't have to go through it all again.