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Tear Jerker: The Mighty Thor
A large man materializes in town, and starts to tear the place up. The Mighty Thor tries to stop him, but the seemingly mindless berserker is just as strong as he is, and proceeds to kick the crap out out of him. Thor, in desperation to protect the innocent bystanders, powers up and hits him so hard it kills him. Before he has a chance to celebrate, Balder and Loki run up, too late to inform him that his opponent was Bor, Odin's father and Thor's own grandfather.
Loki, like everyone else, cannot remember Thor following his death in battle against the Serpent. However, unlike everyone else, he knows Tanarus is not the god of thunder, or his brother...and he's upset because he can't remember who is.
Loki: You are not my brother. My brother was—was—
Tanarus: Was who... little brother?
Loki: Kill you. I will when I—when I figure all of this out.
Thankfully an attack from Kelda (accidentally?) jogged his memory.
But then in the next issue, it's clearly getting more and more painful for him to hear people call Tanarus his brother. By the end of the issue, he gets the Silver Surfer to remember, and also manages to find Mjölnir.
During Walter Simonson's run, Beta Ray Bill showed up. In his backstory, he revealed that his race fled their home galaxy when a wave of demons began to threaten their entire species's survival, with Bill becoming their protector. Thor agrees to help him destroy the demons, in order to save the rest of Bill's race, and they track the demons to their source... Bill's home planet, converted into a Hell Gate. Bill's reaction is as you expect:
Beta Ray Bill: My home! My home! What have they done to you?
Again with the Simonson run, at one point Thor gathers the warriors of Asgard for a raid into Hela's realm to reclaim falsely-taken mortal souls. This mission includes his old enemy, Skurge the Executioner. In the successful raid Thor is mutilated and the Executioner, who used to be an honorable and worthy opponent but has since become a joke discovers to his horror that on Ragnarok he will lead the evil dead of Hel to destroy Asgard. He destroys the almost-complete Naglfar, the warship of the dead, by throwing his dimension-warping axe at it, rendering all the work invested on it worthless and delaying Ragnarok until it can be rebuilt. Hela, in a fury, sends all the hosts of Hel after them. Thor is willing to stay behind and sacrifice himself to defeat them. But then the Executioner knocks him out and explains to Balder the Brave:
Executioner: All laugh at Skurge save you, Balder. And every time they do, I die a little inside. I think... maybe I am dead already. So it does not matter if I stand here and die. I ask you, give me this one last laugh.
And so Skurge makes an epically BadassLast Stand against Hela's hordes, killing them by the hundreds until finally, as we are told:
They sing no songs in Hel, for grim and cheerless is that realm... but when the new ones ask about the one to whom even Hela bows her head, the answer is always the same: "He stood alone at Gjallerbru..." and that answer is enough.
The exchange leading up to his last stand is particularly powerful, too. The realization that his 'lover' and 'allies' truly do nothing but manipulate and mistreat him was devastating. On top of that, he saw that Baldur, one of Thor's closest allies and thus one of Skurge's enemies, was the closest thing he had to a friend. His final action was to cover the retreat of the only man to show him kindness, and in doing so have the last laugh after a lifetime of being mocked. His grin says it all: after all he'd been through, standing alone, guns blazing, against the numberless hordes of Hel is exactly where he wants to meet his end.
Also the narration all but states that Skurge's final thoughts were about his love Amora.
Amora herself was genuinely heartbroken when she learned of Skurge's death, making her realization that she really did love him or least cared about him on some level even sadder. She even tried to resurrect him at least once, to no avail (she actually had to be stopped since her efforts were messing up the space time continuum).
The tragic, heroic death of Bill, born of Bills. He was a mortal fry cook who fell in love with Kelda, a goddess of light. Against all odds, he successfully wooed her, but when he learned that Doctor Doom and Loki were concocting a plan to dissect Asgardians, he tried to stop them with a sword despite having no experience wielding one. Bill was mortally wounded and died, but passed on the message that saved the people of Asgard. As a reward, he was taken to Valhalla—and when Kelda herself died later on, they reunited there.
The last words of Bill, Born of Bills. He doesn't care that he's going to be honored like a god after death. All he wants is for Balder to make sure to tell Kelda that even after the arguments they'd had recently over the fact that she's an Aesir and he's mortal, he still loves her.