Shadow's death. He knew that by sacrificing himself for a world that would never appreciate what he'd done, would never care for a "shadow" like him, he was casting away his life for a bunch of ungrateful and unknowing people who would celebrate the four Heroes and yet he still did it because he wanted to show them he was a hero too, that not all dark things were bad. The most heart breaking part of this was when the four Links are gathered around the dying Shadow, and they talk about him. Violet even refers to them, the four heroes of light, as Shadow's family, despite him being what he was and what he did.
When Link's father found his son unconscious in the castle. It's Shadow Link.
Skyward Sword Manga
The death of the first Link. Although Skyloft was successfully lifted away to the sky, Link, who suffered betrayal and imprisonment for years, is mortally wounded and choose not to join his comrades. As Link lays dying on the surface, he admits that he wanted to go up to the sky and fly with the Loftwings, but his wounds made it impossible for him to do so. The scene becomes even more heartbreaking when Goddess Hylia discovers the recently-deceased Link lying nearby and mourns for her hero's passing, revealing that Link's imprisonment was intentional as a means to turn him into her chosen hero. Regretting her actions, she swears to Link that his spirit shall be reborn while she shall shed her divinity so that they shall meet each other again as simple humans.
The Game Over screens in any of the 3D games. Seeing Link fall down while depressing music plays in the background and the words "Game Over" fade into the screen. Spirit Tracks' game over screen was the worst, for this troper, because the overworld theme he adored was suddenly being slowed down and symbolizing your failure, rather than your adventure throughout the land.
Also from Spirit Tracks, getting a Game Over while on the train needs special mention. Think about it: The train is blowing up, Link is (probably) laying unconscious, and Spirit-Zelda is is shrieking "AAAAAAAHH! LINK!" at the top of her distraught, grief-filled voice. Even though the game has no real voice acting, Zelda's shriek still echoes on my mind.
And I had just been in two car accidents prior to playing the game, so I could practically feel the impact. I seriously put the game down and went to lay down for a while the first time I crashed...And I, too, could hear her scream quite clearly in my mind.
Things get even worse when you have Teacher with you, who is so frantically worrying over Zelda and searching for her endlessly when you could assure him that he's fretting too much, but won't. And things get even worse than that if you crash while he's on the train. During the resulting explosion, he'll state a final line in which he can actually see Princess Zelda. Who happens to be a ghost. Oh, dear, indeed.