Seeing Tabitha's mother for the first time. She's emaciated, insane and paranoid, and hurls insults and silverware at her own daughter. It's made much worse when the cause is revealed to have been a glass of cursed wine intended for Tabitha (then Princess Charlotte de Orleans) by her Evil Uncle Joseph. Upon realizing what was going on, she drank it herself to protect her daughter, and ended up... well, like that.
Second Season Opening: Saito finds himself back in Japan, then cries that a world without Louise is not worth it. Fortunately, it was a dream.
Second season: The episodes dealing with the Queen's Lost Love, the Prince of Albion. She wants so badly for him to be alive, but in the end we find out that it's just a crude copy, animated with a bit of his soul. The mini-arc ends with her giving his body an Anguished Declaration of Love. Given her role in the series so far, this seems to be a prime example of Break the Cutie.
Second season finale: Most scenes following the reveal that Louise is planning to make a Last Stand / You Shall Not Pass so that everyone important to her can escape Albion (including Saito).
The bit where Louise tells Saito to leave without her... especially when you get a look at her face.
And then when Saito's sleeping potion takes effect right as she's about to finish her part of their wedding vows with the critical "I love you" (though we get to see her mouthing it as she passes out).
When Siesta realizes that Saito used the sleeping potion she had given him previously (with the intent that he drug Louise and run away from the war) to instead take Louise's place as the decoy defense, because, as far as he's concerned, he's more expendable than she is. The poor girl suffers a Heroic BSOD as a result.
A second later, the full meaning of what Julio said hits Louise and she nearly throws herself off the airship they're on in an attempt to get back to Saito.
There's a very brief Hope Spot when the brightly shining Eclair D'Amour falls out of Louise's robes... only for that hope to be squashed a second later as the flower withers and dies. This scene's potential for Tear Jerkingness is sealed when Saito and Louise scream each other's names... as hundreds of arrows and fireballs fall on Saitou's already mortally wounded body.
Finally, there's the scene afterwards back at the Academy, where all of the named characters appear to be in feeling varying intensities of depression, largely dependent upon how close they were to Saito. Louise is the worst off, staying confined in her dark room, having apparently done nothing but cry since her return from the war.
This troper particularly recalls how she gives an extremely heartfelt 'I love you.' for Saito and questions the cruelty on how she can say this declaration so clearly after he's already gone.
The music that starts just as Saito charges down the hill, sword in hand. Can you place it? That's right, it's a slow, sad, beautiful piano version of the OP, "I Say Yes".
"Agnes, sheathe your sword. He has passed away."
Meta example, Noboru Yamaguchi's death. To make this worse there was a Hope Spot that his cancer was gone.