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 was a sequel in which Will defeated Jake and got his life back.
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.
The end of "My Old House," which is in the same vein as "The Girl in the Painting" and "Uncle Howee" in that the main character gets sucked into another dimension and will never escape. In this episode, the house comes to life and sucks Alice inside of it when she realizes that she shouldn't have left her family in favor of the house...and now she lives forever as an imprint on the wall, which is discovered by a girl moving into the house.
Actually a bit worse of a Tearjerker than The Girl in the Painting because after Alice runs away and hides in the closet when her parents look for her, we see her parents looking pretty scared and upset. The mother is blaming herself for Alice's disappearance, saying they never should have moved in the first place (both of them likely thinking she was snatched up on her way to school in an unfamiliar neighborhood), and finally looks to the stairs and says "I can just see her...running down those stairs on Christmas morning to look under the tree." And that sentence ends with an audible sob. Made all the more worse when you know that Alice's parents will never see her again because Alice has been killed (or something else much worse).
Intruders: Eve's life. It's implied through dialogue that she used to be a sweet girl, and was close to her parents, but in the present she's become a bitter teenager with an attitude problem, not helped by the sudden arrival of her baby brother, or constantly being shuffled from therapist to therapist. The episode does a good job illustrating how emotionally distant she is from her family, and she comments that, even before finding out she was a changeling, she always felt like she wasn't like the rest of her family.
The Cruel Twist Ending of "Argh V" qualifies. Sam and her parents die in a road accident, encounter the Applebaums—the previous owners of their RV who perished in a similar accident—and are trapped in the vehicle with them forever, wandering the highways of America as the living dead. The penultimate shot of the episode is Sam breaking down and silently crying as she realizes her fate. What makes it worse is that Sam knew something terrible was going to happen and actively tried to prevent it—in fact, the only reason she was in the RV in the first place was to keep her parents safe. She did everything she could, and it wasn't enough.
Similarly, the Cruel Twist Ending to "Lotsa Luck," when Seamus comes for Greg anyway, because Greg's great-grandfather, Daniel, wished for Seamus to go after the next male descendant in his family rather than give up his own soul. Greg is genuinely hurt that his "I wish I never met you" wish didn't work and that his mom went to all the trouble to keep Seamus away from her son for nothing.
In "Spores," Melvin's mother is the only member of the family who listens to him, and in turn, he only goes through with the hike because his mother asked him to—so the fact that she's the first victim of the mutating spores is especially harsh.
Pretty much everything about Missy (up until the end when she becomes the daughter of the gardener and his son, who are now rich, while her selfish parents and brother are the hired help) in "Goodwill Toward Men." She's kind to those who aren't as well-off as she is, yet her parents and brother treat her like crap (not in the same vein as Meg Griffin from Family Guy, but close enough) by making fun of her and they don't listen to her talk about how they need to learn humility when the entire family is living among the homeless (her parents are too busy trying to contact their lawyers and the credit card companies to rectify what they think is a mistake). The plus side to this is that the Christmas angel sees that Missy really does care about others, despite being from a selfish, elitist family, and puts her in a new reality where she lives with her former gardener and his son.