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Tear Jerker: The Following
Jacob kills Paul in order to spare him the pain of a long, drawn-out death.
Towards the end of the first season, Jacob begs Emma to run away with him, realizing that he's not cut out to be a Follower. Emma slashes his throat.
The death of Debra Parker.
In the beginning of the second season, the look on Ryan's face when he finds out that Claire is dead is pretty devastating.
In "Teacher's Pet", we see the other end of that situation. Claire is devastated when she realizes she needs to disappear and can't even tell Ryan she's alive. The grief-stricken way she says, "I can't do this to him" is heartbreaking.
In "Sacrifice", Mike realizes that he's not OK, having nearly killed Luke in a rage, and decides to head home rather than risk becoming like Ryan. But then Max is kidnapped, and Mike, being the guy that he is, cancels his plans to help Ryan find her. After they rescue her, Ryan gets a video message from Lily. Convinced that Mike killed Luke, she's attacked his family home and killed his dad. The episode ends with Mike breaking down and crying and Ryan just holding him...
A minor one, but in "Teacher's Pet", Ryan does his damnedest in trying to save the life of Mallory, a Korban cultist, after her throat had been slashed by another cultist. She even intended to give herself up. Another moment comes from when Carroll casually kills a cat, leaving Mandy in tears.
Mandy hands herself over to Lily, thinking that she'd be safe. Lily decides to let Luke and Mark play with her instead. Poor Mandy. All she really wanted was for someone to love her...
After all of Ryan's efforts to save her from the twins, Claire tells him they can't be together.