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Tear Jerker: The Tudors
Thomas More's execution. Particularly when Henry lets out a Skyward Scream realising he made a mistake.
Before that, there's the moment after his trial when he's being led away, and his daughter fights to get to him and manages to embrace and kiss him one last time before being pushed back.
Jane Seymour's death shortly after giving birth to Prince Edward. Henry spends the whole of the next episode in a Heroic BSOD with only his snarky fool for company.
Cromwell's death. He may have been a Manipulative Bastard , but that doesn't stop his deliberately botched execution from being heart rending.
Making it worse is his son having to watch, powerless and sobbing, while his father suffers an agonizing death. Only he can't watch; he can't bear to after the first stroke.
Cardinal Wolsey's suicide in the first series finale, after being reduced to nothing and making a truly tear-jerking final prayer.
Lady Mary crying in her chambers after Katherine Howard tells her that she's only jealous of her because she's younger and married, while she'll probably become an old maid. Talk about adding insult to the injury.
The respective lead up to, and executions, of Anne Boleyn and Katherine Howard. To elaborate:
Anne is abandoned by her callous father and has to see her beloved brother and her friends go to the block before her - which is pretty heart breaking in itself, especially when one man's been so badly tortured they have to lay him down on the block because he's physically incapable of moving on his own - and breaks down sobbing and gasping for breath. Then her own execution is delayed, drawing her torment out and nearly bringing her to breaking point - but she thankfully musters up more than enough courage and dignity to make her final speech. Then it's drawn out some more, allowing her fear to take hold again as she repeats her prayer. And, when her head finally parts company from her body in a strange but beautiful Gore Discretion Shot, there's a flashback to when she was young and being carried by her father. All scored with the most beautiful and tragic song, 'Jerusalem'.
With Katherine, first there's the simultaneously gorgeous and harrowing 'Execution Ballet', which cuts between Katherine dancing in her prison and Culpepper and Dereham being executed. At least for Culpepper it's quick; Dereham gets the 'hung, drawn and quartered' treatment. It doesn't help that there's a voiceover from Katherine reading out a love letter to Culpepper and a confession about Dereham. Then Katherine goes to her own execution, and has to watch Jane Rochford die before her - but, despite wetting herself, she too manages to pluck up her courage and make a graceful farewell, marvelling at how beautiful life is.
Charles Brandon's conversation with the ghost of Thomas Darcy at Pontefract Castle.
Catherine of Aragon's entire story. Scorned by the man she's loved and been married to for twenty years, betrayed by the one lady-in-waiting she thought she could trust, separated from her only surviving child, having miscarried or lost in infancy half a dozen babies over the years — damn, it's really hard to have sympathy for Henry when you look at Catherine.
Katherine Howard really, truly loved Thomas Culpepper - just before she's executed, she states to the people watching that she'll die a queen, but she'd rather have died as his wife - so it's all the more painful that he was totally unworthy of that love, psychopathic rapist that he was.
Both of Anne Boleyn's miscarriages are terribly tragic (after the first, her father asks her "What did you do to kill the baby?") but the second is especially heartbreaking. It's quite graphic in nature, and while Henry was somewhat sorry for her after the first, he fully blames her for this one and simply says "When you are up, I will speak with you". When she protests that seeing him with Jane Seymour (not to mention the fact that she was shocked by his near-death incident before that) contributed to the situation, she says "The love I bear you is so great—it broke my heart to see you loved others." It's even more devastating when you know that this is something the actual Anne Boleyn said to Henry VIII following her final miscarriage. Not only is this even the final part of Anne's downfall—she's also suffering something physically and emotionally traumatic for any woman, particularly one who wanted her baby.
Bishop Fisher's execution. He faces death with dignity, but realises at the moment of time he is terrified of dying and asks those present for their help. They all shout out blessings to him to ease his passing.
The unfortunate fate of Robert Aske, who was a key figure in the Yorkshire Pilgrimage of Grace against Cromwell's demolition derby on churches. Aske had Undying Loyalty to both Henry and the church, and trusted the words of the king and Charles for forgiveness. However, when the rebels rose up again without Aske's consent, the poor fella pays the price and becomes a broken man.