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Tear Jerker: The Sopranos
The show is remarkable in its ability to extract pathos from characters who might seem to be completely unsympathetic:
Unexpectedly, Livia's death, mostly because of Tony's quietly grieving after her wake
In the same episode, Christopher deploying his Catch Phrase "I'm sorry, T," not as an apology for one of his own fuckups, but in sympathy to Tony, is also very sad in its way.
Ralph beating Tracee, the stripper carrying his child to death in the Bada Bing's parking lot is just plain disturbing. The other gangsters can only stare dumbfounded at the sight of her body.
YMMV considering the nature of the character, but Ralph Cifaretto's Villainous Breakdown following his son's crippling injury, and Tony's subsequent brutal murder of Ralph is downright tragic. Especially considering that just one episode prior, it was suggested that Ralph may have been sexually abused as a child.
In the season 4 finale, Carmela gets fed up with Tony's cheating and angrily confronts him. The two go back and forth throughout the episode until Tony realises that his staying in the house is not good for the family and willingly leaves.
Carmela's heartwrenching monologue to Tony, after he has been shot and left in a coma with survival uncertain.
Johnny Sack's eventual quiet, understated death in prison after a long, debilitating battle with cancer. That he was always one of the more sympathetic mobsters (his devotion to his wife and children being his major redeeming quality) certainly makes this harder to watch.
The death of Hesh's wife Renata, and Hesh's reaction to it.
Tony tearfully holding A.J. after the latter tries to drown himself and Carmela's breakdown after checking him into a psychiatric hospital.
Uncle Junior's final scene, in which Tony realizes that he doesn't even remember his own family, or the man he used to be. A quiet scene that manages to be one of the most haunting in the entire show.