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Tear Jerker: The Haunting Hour
In "Flight", when the undead passenger — who may or may not be Josh's future self— departs to the afterlife after accepting his death.
The end to "Spaceman": After Aaron who has been wearing a toy space helmet finds out that he's receiving transmissions from a dead boy whose spirit stayed in the attic even though his mother was trying to move on from his death, Aaron decides to play with the dead boy to make his grieving mother happy.
Unfortunately, that's the original ending. The director's cut is more disturbing than depressing, in that Aaron is forced to be the dead boy's friend rather than Aaron just doing it because he felt sorry for the dead boy's mom.
The end to "My Imaginary Friend," where it turns out that Shawn's brother, David, is imaginary and he disappears when Shawn comes to the realization that he's too old to have imaginary friends. It's just so depressing when Shawn watches his brother fade away and David's last words are, "I don't wanna go..."
In The Dead Body, Will needed to get out of debt to the ghost of Jake Skinner, so he goes back in time to stop Jake from dying in the first place. So by Jake's own ghostly means, Will goes back in time and does save Jake, but Jake betrays him and has Will die in his place, back in the present day, Jake see's Will's ghost and dances with Will's love interest in front of him. Even sadder is Will wasn't in a good place to begin with, he only made the deal with Jake so he can get his bullying to stop. Fortunately, there is going to be a sequel to this episode that has Will trying to get his old life back. It was supposed to air during the third season in America, but it's been rescheduled for season four. International kids' channels, such as those in Israel and most Spanish-speaking countries, have aired "The Dead Body Part 2" as a season three episode.
In Girl in the Painting take your pick between Bailee Madison's character being eaten by the unseen Dragon, or the fact the girl in the painting is pretty much being used as bait by her own mother to lure in anyone who thinks that the painting she's in depicts a beautiful, carefree world.
Checking Out: It is rather heartbreaking (and scary) to see children begging their parents not to sacrifice them into the founder's painting, while the parents look on, smiling with no remorse of what they've done.
Headshot: Lexi's end narration, which explains that her attempts to get Gracie out of selling her soul to Cassandra were for nothing, as Gracie had the power all along to walk away from being the new face of Teen Teen magazine and delete the cell phone picture of her headshot which, like The Picture of Dorian Gray, is turning ugly from the cruel things she says and does to make her shallow dream come true (like setting up Dylan to get suspended for cheating and spiking Flynn's milkshake with Red Dye #3, which Flynn can't have because she's allergic to it) while she gets prettier, but Gracie didn't do it and now has to go through life looking like a monster while her human face is on Cassandra's wall of girls who were in the same situation as Gracie.
Lexi(narrating): But the choice wasn't mine to make. (over a shot of Gracie accepting flowers for being named Teen-Teen's newest face): It was Gracie's, and Gracie's alone. (cut to scene of the photographer reacting to Gracie's off-screen transformation, followed by a shot of Gracie's human face on Cassandra's wall of past models): It's strange how things worked out. Gracie finally got her wish.
Detention: Audrey, Kate, and Halftime finding out that the detention room they're in is purgatory and that they all died in a homecoming parade accident that Audrey started to get revenge on Kate.
Audrey apologizing to Kate for what happened and saving her from going to Hell.
The climax of "Toy Train," in which Logan's father confronts the switchman who died saving him from getting hit by a train as a child, which has been haunting Logan's father for years because he never got a chance to thank the switchman for saving him.