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Tear Jerker: The Wire
The blood-curdling shooting of Kima Greggs. She's undercover and lost at night on the back of Orlando's car when they are battered with gunfire. Everything is caught on tape and replayed on the next episode.
Made even worse by McNulty being covered in her blood. This belligerent wise ass breaks down blaming himself for what happened to Kima. Maj. Rawls calls him on this, saying that if he were actually the one to blame, Rawls himself would be the first to tell him.
Freamon shows up at the crime scene to prompt the Major Crimes detectives into running the wiretap. Every detective tells him to go fuck himself until he makes them realize that the shooters are the guys that they have under surveillance, to which everyone rises up enthusiastically.
Wee-Bey's reaction to being informed that one of the victims of the shooting is a cop is one of the biggest reaction faces of all time. 
The brutal murder of Brandon. Considering that his maimed corpse is left at the front of Wallace's house (Wallace being the one that ratted Brandon out to Stringer Bell), he is left broken and traumatized, and he begins a spiraling descent into drug abuse.
Stringer talking Bodie into killing Wallace. Bodie almost didn't pull the trigger after hearing Wallace's pleas.
D'Angelo's reaction to this with Stringer and Levy:
WHERE THE FUCK IS WALLACE!
Ziggy shooting down Glekas in cold blood. Ziggy spends the majority of the season trying to prove himself a badass. When he realizes what he has done, he cannot contain his own tears and breaks down; he immediately turns himself in and signs a confession, guaranteeing that he would spend his life in jail.
Desperate after hearing the news, Nick grieves while reminiscing the good times he had with his cousin. Ziggy was an idiot indeed, but he was the only thing Nick had that resembled a brother. Consider that Nick had to put up with Ziggy's stupidity an awful lot, but this was the idiot he spent most of his lifetime with.
Landsman's reaction to how Ziggy is taking the whole situation once he's arrested is one that is not shown from anyone else in the series; complete and utter professionalism that is fueled mostly from how surprising it is for the poor guy to be so accepting into throwing himself to jail with justifiable cause and very little qualms and by the fact that Ziggy is clearly in pain and regret from having murdered someone. It's implied by his attitude that it's not something that Landsman experiences very often as a murder detective in Baltimore.
The murder of D'Angelo at jail.
Beadie pleading with Frank to turn himself in. All his work has been turned upside down, his reputation shattered and his beloved docks are on the road to become high-end condominiums. In tears, Beadie makes him realize just how low he has fallen and he makes an effort for her not to see him crying.
Frank Sobotka's death. The Greek is informed that Frank turned snitch. Frank thinks that he is about to break a deal with The Greek and then, the screen fades to black. He washes up at the docks, throat slit and covered in stab wounds. Just seeing Nick and Beadie react to that sight is... damn.
Made worse by the fact that Ziggy signed a confession for the murder of Glekas; by doing this, not even The Greek or Spiros Vondas would have been able to do anything to take him out of jail, making Frank's death a specially unnecessary tragedy.
Made even worse with Frank not actually telling anything to the police prior to the meeting under the bridge by a mere technicality, since he turned himself in without legal representation to legitimize his collaboration with the authorities. Oops!
The way the entire group of stevedores stands around as Frank's body is brought out of the water, just standing there in stunned silence like a gigantic family that suddenly just their father. And the audience doing a rewatch knows that this particular moment would more or less be the last moment all those stevedores were together, and that many of their lives would be wrecked because of Sobotka's death... it's just tragic all around.
"Your way, it won't work."
The death of Stringer Bell. Damn if he asked for it, but he was one of the best characters in the whole show!
His confession of the murder of D'Angelo to Avon is no less a shock.
McNulty shaming Briana Barksdale for the murder of D'Angelo. Briana asks him why didn't he inform her before going to Donette, considering that Briana is D'Angelo's mother; in simple words, McNulty tells her that he informed Donette because he was hoping that she actually cared for D'Angelo, concluding that Briana didn't care as she was the one that convinced D'Angelo not to testify and to take the 20 year sentence for the sake of Avon. Briana breaks all relations with Avon and Stringer because of this, though she is left in charge of the remnants of the organization after the latter two are taken out of the picture.
Prez's shooting of a fellow officer. He's finally managed to acquire some respect as an investigator, but the minute he steps into the street he effectively ends his own career as a policeman. It's so surprising and sad that basically everyone in Homicide is completely aghast to what they're supposed to do until Daniels shows up and tries to talk to Prez. The episode ends with Prez sitting alone in the dark by the computers of the MCU and hearing the wiretap noises by the last time, knowing he's never going to do that kind of work anymore.
His listening to Johnny Cash while cleaning bubble gum from below school chairs is also a sad Call Back to his glory days as analyst in the Sobotka case.
The story of Old Face Andre, a minor player and store owner who guards a stash and is pinballed between Omar, Marlo, and Proposition Joe in a tragic game. His anguised voice and denied plea not to be killed where his people won't find him makes his demise rather poignant.
The entirety of the kids' plot on Season 4 is a giant tear jerker on its own.
Colvin's plea to Wee-Bey to let go of Namond so he can provide him with the bright future he deserves. The great thing comes from the fact that Namond can finally be rid of the bitch of a mother he has. It's tremendously satisfying that a murderous psychopath like Wee-Bey at least is made to realize that he doesn't want his life imposed on his own son.
Carver's fight to help Randy is tear jerky enough. Carver finally realizes that his hands-off approach to policing would end up paying a terrible price by unwittingly destroying Randy's life. To a lesser degree, Herc is also responsible for Randy's downfall in a series of mistakes that end up costing him his job as a detective and he is eventually kicked off the force.
The death of Bodie. He went out like a soldier.
Bubbles' accidental manslaughter of Sherrod. Landsman takes pity to Bubbles and sends him to suicide watch into a psych ward. When Waylon visits Bubbles, the latter breaks down at his sight out of shame.
The torture and murder of Butchie. Realizing that he's Omar's bank, Marlo orders his murder to fish out Omar out of hiding.
The death of Omar himself. He's been terrorizing drug dealers for years and is regarded as a living legend worthy of fear and awe. It's bad enough that he's killed by a kid that used to idolize him, but in a matter of hours after his death, he becomes just another statistic.
This turnout also puts the entire idea of "street cred" or a reputation in context: his death is deemed not even newsworthy, and the coroner nearly mixes up his information with another body's. To the rabble he is a legend, but almost nobody above the street has any idea who this otherwise feared, respected man is.
The death of Snoop. She's a murderous little shit, but damn if she isn't one of the best characters in the whole series! Michael proves himself wise enough not to go unarmed to wherever she's taking him. She even asks Michael if she looks pretty before he shoots her.
Dukie's downfall into drug addiction. After realizing he's pretty much useless in everything he attempts to do, he decides to basically destroy every relationship that he used to have; he even betrays Prez's confidence by tricking him out of money to buy drugs. He basically becomes the next Bubbles.
Dukie:You remember that one day, summer past? When we threw them piss balloons at them terrace boys. You remember? Just before school started up again... Y'know, I took a beatdown from them boys, I don't even throw a shadow on it. That was a day... Y'all bought me ice cream off the truck. You remember, Mike? Mike:I don't.
Michael's farewell to his little brother Bug is a huge tear jerker on its own. He has become a target by betraying Marlo's organization, so he sends Bug to live with his aunt. Bug can hardly hold the tears, while Michael struggles with the waterworks himself. After this, Michael becomes the next Omar.