Zakath discovers that Urgit isn't the son of Taur Urgas, and breaks down as the full weight of his attempts at revenge falls on him. "He has escaped me... and I've slaughtered tens of thousands for nothing..." Bear in mind, Zakath is The Stoic until that moment.
From "Polgara the Sorceress", when Vo Wacune was destroyed. The sadness she describes and the bits of it you can still feel in "Queen of Sorcery" when she's talking about it makes you tear up.
The deaths of Beldaran and Ontrose in the prequels and the supposed death of Poledra.
Ce'Nedra's continuing reaction to the loss of her baby, particularly when she finds out that she'll never see his first steps.
In a way that's both tearjerking and Nightmare Fuel, Torak's final message to Garion in Sorceress of Darshiva was thought to be one of the only times he was actually sane. Torak foresaw his own loss to Garion and actually left a message, stating that, though he hated Garion beyond anything else, he knew that, were Torak to win, it would be an abomination that would do far worse than destroy the world. That Torak must support his own slayer in defeating the Spirit of Dark, even if would require Garion to slay his own child.
Torak: We are brothers in that we share a dreadful task. What is foretold in these pages is an abomination. Do not let it come to pass. Destroy the world. Destroy the universe if need be, but do not permit this to come to pass. In thy hand is the fate of all that was; all that is; and all that is yet to be. Hail, my hated brother, and farewell.
From the last page of The Malloreon (not really a spoiler): "And now, my children, the time has come to close the book. There will be other tales and other stories but this one is, alas, complete."