When Eärendil wanders through the streets of deserted Valimar and the dust of the gemstones covers his feet. Note that this was originally supposed to be much more tragic, as Eärendil had arrived too late and the Elves had already left for Middle-earth; Tolkien changed it to make it a bit less tragic, with the Elves only being away at a festival and soon returning.
Mîm the Petty-Dwarf. He and his two sons are the last of their kind but Khîm is shot dead by Androg and by the time his father gets home he is too late to save his son. Then Mîm's other son Ibûn gets killed by Orcs, leaving Mîm the Last of His Kind. Finally Mîm gets killed by Húrin.
Maglor's ultimate fate. What makes it worse is that even though he swore the Oath and took part in all of the Kinslayings, by the end, he was probably the son of Fëanor least deserving of such a fate.
The Downfall of Númenor: "...and Númenor went down into the sea, with all its children and its wives and its maidens and its ladies proud; and all its gardens and its halls and its towers, its tombs and its riches, and its jewels and its webs and its things painted and carven, and its laughter and its mirth and its music, its wisdom and its lore: they vanished for ever. And last of all the mounting wave, green and cold and plumed with foam, climbing over the land, took to its bosom Tar-Míriel the Queen, fairer than silver or ivory or pearls... and her cry was lost in the roaring of the wind." Just about the only good thing out of all this was that Sauron was so badly damaged he could never take a fair form, ever again.