This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / The Secret World
Deputy Andy's story of the kittens he kept as a child... and how his father drowned them in the bay. Quite apart from the sheer cruelty of the act, it's pretty clear that the incident still haunts Andy to this day, especially since his father followed up on this by walking out on the family.
Speaking of Parental Abandonment, Nicholas Winter manages to keep a lid on his childhood frustration up until the events of "A Carnival Of Souls," when he finally explodes at the senselessness of his father staying behind in the unprofitable and abandoned Atlantic Island Park when he still had his empire, his fortune, his family - and Nicholas, who's been too worn out to get emotional up until now, manages a perfect blend of anger and grief when he concludes, "He had me!"
The sad tale behind the Black House. Carrie Killian only wanted to help the people of Solomon Island, and was rewarded with nothing but suffering: the Illuminati ruined her reputation, the locals continued ruining it with further rumors accusing her of devil worship, and the people who actually accepted her help just went on badmouthing Carrie behind her back. In the end, she ended up getting blamed for a series of deaths around the Island, and an angry mob burned her house to the ground with Carrie still in it - her murderers escaping justice by claiming that the fire had already started by the time they got there. In a final insult, the city council disregarded Carrie Killian's will to have her ashes scattered into the ocean and left her under a cheap tombstone on her property.
Eleanor Franklin's story of the Blue Ridge Mine in "Dawning Of An Endless Night." At first, she seems surprisingly chipper given the crisis that's overtaken Solomon Island; then conversation turns towards her long-dead husband, Ed. Even today, she still remembers how his sanity slowly unraveled following his exposure to the things in the Mine, how he killed one of the Wabanaki note an act that Eleanor still can't bring herself to admit wasn't in self-defence, and how their marriage fell to pieces as Ed spent more and more time obsessing over his nightmares - the calamity ending with Ed hanging himself - and Eleanor being the one to find the body.
The introduction to "The Haunting." By now, it's clear that Ed's ghost is still haunting the manor, but he's barely a shadow of his former self in mind and image; then, Eleanor mentions a large standing mirror up in the attic - and by the end of this bit of dialogue, Eleanor sounds as though she's on the verge of tears.
You know, one time I caught a glimpse of Ed in it like he used to be, all done up in his Sunday best. I hardly felt surprised, but... like a damn fool, I blinked... and he was gone.
The situation of The Sentinels. All of them have been stuck in the City of the Sun God for millennia, making sure that Akhenaten does not wake and leave the Black Pyramid. Their father, the one that did this to them is their only link to the outside world and he cannot undo what he has done.
It is particularly sad for Moutemouia, who had children of her own before she was sacrificed to become a Sentinel. Over the centuries her youngest sibling Houy became the only thing that was keeping her from just...letting go.
The worst thing of all is according to the Buzzing all this sacrifice was in vain and eventually Akhenaten would break free.
For the most part, "The Facility" is a fairly unemotional journey through the ruins of the Red Hand base interspersed with some tough boss fights. Then you meet Halina Ilyushin, the Big Bad of the dungeon: from both the lore entries and her own dialogue, it becomes very clear that she's not some Filth-worshipping Omnicidal Maniac out to destroy the world - she's an astronaut who missed out on her chance to go to space. Halina spent her entire life trying to fulfill her childhood dream of seeing the stars up close, even submitting herself to the Red Hand's torturous experiments... and after all that, the Red Hand shut down the program and abandoned her as a failure. Since then, she's spent the last few years in self-imposed exile at the deepest level of the base, alone except for the Contact Core, all the while trying to complete the Red Hand's experiments and become a phantom cosmonaut. This in itself is pretty depressing, but Halina's dialogue in the boss battle really brings home the depths of her madness and grief.
Why do you ground me?! I trained for this! THEY MADE ME FOR THIS!
The plight of Rada Nataste: it's bad enough that she's stuck in the same predicament as most of the other Non Player Characters across the combat zones, what with being trapped in a secluded location and surrounded on all sides by monsters, but Rada's only company in the lodge is Adrian Zorlescu, her handler and "boyfriend." It's pretty clear that Adrian's abusing her in one form or another, and worse still, it also becomes clear that he's only the latest in a long line of abusive Morninglight handlers: Rada was forced into the cult by her own parents. Doubly heartbreaking is watching her trying to comply with Adrian's threats in "Cabin Fever," trying to seem bubbly and sociable when it's clear that she's too scared to keep up the pretense - and eventually, she starts breaking down, confessing "these people aren't my friends" and admitting just how terrified she really is. By the end, she's in tears. And there's nothing you can do to help her. Sure, you can keep the vampires from breaking in and you can keep Adrian in line with a few threats of your own, but no matter what you do, Rada will still be trapped in the lodge.
The revelations in issue 5, pretty much all the survivors on Solomon Island are infected by the Filth and will eventually succumb to it. The saddest thing is, there is nothing that can be done to stop it.
"When The Hatchet Falls." For once, Tibor and Luminta are too worried to argue about anything, spending the mission intro talking about their missing friends or frantically asking you if there's been any sign of them - and they just sound so sad and resigned when you don't reply. It's pretty clear that they're virtually already in mourning for the missing children, and doubly heartbreaking is the fact that the mission makes it abundantly clear that they're right to do so.
From the same mission, Olga Dimir's letter to her absent husband. Yes, she's a thoroughly repugnant and abusive individual responsible for the deaths of hundreds if not thousands of supernatural beings, and yes, the letter makes it abundantly clear that she's crazy... but even so, it still brings home a very humanizing sense of loneliness and grief, especially as the structure of Olga's writing begins breaking down, swinging wildly between longing, anger, and desperate pleas for her "beloved husband" to return home.
What happened to Sarah between the tutorial and Issue 9. Forced to relive the same day over and over and having thousands of strangers psychically shoved into her head. Once again, nothing can be done to stop it: Sarah has to stay down in the subways and allow new players to replay her memories, because its the only way they'll be prepared to face the Filth. Watching her trying to keep a grip on her sanity is honestly painful to watch, especially as it becomes clear that the process of being forced to replay her memories of the Tokyo incident is actually destroying her mind: the mission "Pieces of Sarah" reveals that her memories of her time before Tokyo are being eaten away and she's been forced to commit them to paper before she forgets them. And it's not working: several notes feature her losing a memory even as she tries to write about it, at one point reverting back to her mantra of "My name is Sarah and I'm still on this planet"... only to realize that she doesn't know where she is or who she is anymore.
Much of her dialogue during her second mission is angry - either at the Filth or at the players - but she just sounds so sad and defeated when she says the following:
Sarah: I wish you could have met me the way that I was...
"The Pachinko Model," and the exploration of the abandoned Fear Nothing Foundation offices. By the time you get there, the FNF members have committed mass suicide. For good measure, realize that the Foundation had built up such a good reputation that some families were willing to send their children to the FNF for counselling... and all of them would have ended up facing the same brainwashing and eventual suicide.
Sachiko's story, as gathered from the notes around the building: a troubled girl from a broken home, she came to the FNF for help. Naturally, the Foundation did their level best to break her spirit and indoctrinate her; when that didn't work, they sent her up to the Third Floor and killed her over the course of a prolonged brainwashing/experimentation session. Now, Sachiko is condemned to haunt the Third Floor, and unlike the other ghosts infesting the building, she can't be destroyed. She's stuck there forever.
From the same instance, "Dear Diary." Over the course of the side quest, you collect the pages of a journal written by Sabrina, one of the younger FNF members: at first unassuming and even sweet at times, what with Sabrina's crush on Kinji, the second-last page turns frantic as she realizes what's about to happen and the writing devolves into scrawls of "I want to go home" and "I want my mom." The last page of the journal features Sabrina, now fully brainwashed, serenely accepting the incoming mass suicide; in a final gutwrenching note, she happily remarks on how she and Kinji will hold hands while they die.
Another sidequest from the FNF instance, "The Lost Letters," features several letters written by the aforementioned Kinji to his parents - once again featuring sweet greetings to family and discussions of his crush on Sabrina before everything goes horribly wrong. If anything, these are even worse than Sabrina's diary, for the letters actually chart the course of Kinji's indoctrination and Sanity Slippage: towards the end, one entry remarks with horror at how none of the group can trust their own judgement anymore, with Kinji himself spending half an hour crying and banging his head against a wall - all because one of the counselors rebuked him for shaving the wrong way. Particularly heartbreaking is Kinji's growing despair as he realizes that his parents are never going to reply - unaware that the FNF haven't been sending any of his letters. By the end, he can't even use the terms "mother" or "father" anymore: he can only call them "breeders of this vessel," and eerily thank them for never replying while he gears up for the mass suicide.
The boardroom where the FNF gathered for the mass-suicide. Sabrina and Kinji said they'd hold hands at the end: from the looks of things, they tried... but couldn't. This was later fixed in Legends.
While the evil they've done and enabled may stop it from being truly heartbreaking, there's definitely a certain sadness in the deterioration of Lilith and Samael's eons-long relationship as you realize how much they love each other:
Samael dispensing with all pretext and drama when he tells you that if you do anything to harm her, if you don't turn back, he will make you regret it, because despite how badly things have gone wrong between them, "She is my wife."
Lilith's monologue on the balcony; if she's acting when she talks about how betrayed she feels over her husband deciding that their original goals just aren't worth it, she deserves an Oscar.
What seemed like a minor temper-tantrum over Lilith not getting what she wanted at the end of Issue #7 also seems very different now:
Lilith: You will not! You will not choose her over me! Samael chose her!
Mara and Vlad's romance was one filled with Tragedy. Yet despite it all they both loved each other forevermore. Even as Dracula must end her life their final words to one another are heartbreaking as she briefly returns to who she was before becoming a monster.
Vlad Dracula: Just go back to sleep, my love. I'll watch over you.