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Tear Jerker: The Borgias
Everything Rodrigo goes through in the Season 2 finale, “The Confession,” especially since Jeremy Irons pulls out all the stops portraying his overwhelming grief and horror. The likelihood that Juan is dead is broached very poorly after a body is presented to him that is not Juan’s, he then goes looking for Juan himself in the city morgue and finds him (lying indiscriminately amongst a bunch of other corpses, no less), learns that pretty much no one else in the family is particularly sad at the passing (and even actively desired it), refuses to bury him for fear of condemning his soul to Purgatory, hears a matter-of-fact and completely remorseless confession of guilt from Cesare, finally comes to grips with what's happened and compulsively carries the body, which he sees as that of a child’s ( no doubt because of being the father), off and buries it in the earth. And then, to top it all off, he drinks a cup of wine poisoned by his new taster Antonello and almost certainly dies in Cesare’s arms. Rodrigo, you poor, poor bastard.
Arguably, Cesare and Lucrezia's conversation in "The Confession". On the one hand, his teasing misinterpretation of her "I would ask you to marry me" is creepily hilarious/flirtatious. On the other... He's just killed their brother (partially for her), thus destroying his relationships with his parents. It's quite arguable that he doesn't care for anyone anymore aside from Lucrezia, and, considering his remorseless attitude towards said parents, is realizing this. She's getting married (again) and won't see as much of him. Whatever your interpretation of their relationship, it's clear that it is not normal, and Cesare loves Lucrezia more than anything in the world. When he says "You have a good man at last" the viewer realizes—he's not just talking about bad men like Sforza. He's talking about himself, and forcing himself to give her up.
For the more of a ruthless bastard Juan was, one can't help but feel pity on his Sanity Slippage as he slowly comes to the grips of madness, losing all edge on reality. In fact, his final scene has him seemingly genuinely talking to his brother of his pain and how he is plagued by it, and even offers to help him with his pain. His Famous Last Words being "Brother...What is this?" doesn't help, either.
Lucrezia's utterly heartbreaking sobs as she's forced to leave Giovanni behind when she marries Alfonso, all because his uncle the King of Naples doesn't want her bastard child in his court. Her grief is short-lived, thankfully, when Micheletto kills the King and she sends for her baby.
Micheletto gets a massive one in 3x09. He falls in love, possibly for the first time in his life...and it turns out that his lover Pascal is one of Rufio's spies, used as a Honey Trap for the assassin to learn the movements of Cesare and his army. He's then forced to kill him (on Cesare's orders, no less), and slits Pascal's wrists, which is one of the least violent deaths Micheletto has caused onscreen. It's more than clear that he doesn't want to, but Pascal left him little choice.
In the previous episode, when he finds out the truth about Pascal. After brokenly admitting to Cesare that he took Pascal to his bed, he gives him his dagger so he can be killed for his incompetence.
Also from 3x09, when Rodrigo and Cesare are finally forced to confront each other about their deteriorating relationship and stop dancing around the issue, Rodrigo furiously snaps "I look into (Cesare's) eyes and I see myself staring back at me! Do you expect me to love that!?" Though we've seen his weariness and sadness at the state of affairs he's perpetuating before, this is the first time we truly see his self-loathing and furious guilt. He then brokenly explains that the reason he's hobbled Cesare's attempts at war is because he's desperately trying to stop Cesare going further down the road, only for Cesare to point out that it's too late and they've all already gone too far, and any attempt to stop will get them all killed. Their reconciliation, where Rodrigo promises his trust, and forgives Cesare for murdering Juan, is then the happy kind of Tearjerker.
From 3x10, Lucrezia having to Mercy Kill Alfonso with poison, so he doesn't have to spend the last few days of his life in agony after Alfonso's foolish attempt to duel Cesare. Afterwards, all she can do is lay next to his body in a catatonic state, covered in his blood from her earlier attempts to save his life.
Alfonso: If you ever loved me, you will do me this one last favor.
Lucrezia: I cannot.
Alfonso: Yes, you can. You're a Borgia.
How about the fact that she was the one who found him on the floor? With Cesare standing over him and holding his bloody sword?
Or how she asks a silent, guilt-ridden Cesare if all she can ever be in her life is a Borgia? As she leaves the room with the poison, Cesare can only mutter 'A professional,' echoing the words he's spoken to Rufio just earlier. Cesare sits there with the realization that his actions have completely destroyed whatever innocence or joy that his beloved sister had left in her.
An earlier one occurs when Lucrezia confronts Rodrigo in a confessional booth, tells him that she knows about his and Cesare's designs on Naples and begging him to tell her if their plans call for the 'removal' of her husband. Worse is when she bitterly states that his ambition, now in unity with Cesare's, has taken her place in his heart, and then cutting him off when he tries to reassure her that's not the case. Compare Lucrezia's relationship with Rodrigo from the beginning of the series to where it is now, and the difference is clear.
The worst is that Rodrigo can neither lie to her nor tell her the truth. She takes his silence as confirmation of her hears for her husband and leaves.
And what about poor Alfonso? At his core, he was nothing but a well-meaning, sweet boy who had fallen head over heels in love with Lucrezia. And from then on, he's involved in so much intrigue and machinations that he can't see straight. His own uncle is murdered, his cousin holds them both hostage, and just as they escape, he's forced to confront the rumours about his own wife (that he loves utterly) and her brother. He starts drinking, becomes increasingly paranoid and when Cesare confronts him in his home, he already knows that he's going to end up just like Juan. Just listen to him as he brokenly tells Lucrezia that Cesare has killed him...'just like you both wanted.'
Micheletto coming back briefly to give Cesare key information in the siege of Forli...and to say goodbye for good. Cesare looks heartbroken as he realizes that his right-hand man, the closest thing he's had to a friend all season, will not stay by his side.