One particular moment that really deserves to be here: You see Rhyme running towards Beat and then Kariya and Uzuki send a shark Noise his way. She sees it, he doesn't and she ends up shoving him out of the way and getting erased herself. It's even worse when you realize that the scene playing on the top screen during this sequence, with Beat pushing Rhyme out from in front of a car, is how Rhyme and Beat ended up in the game in the first place. Also, the fact that you've ran past the place where they both died, the Underpass, millions of times, hurts a lot too.
The fact that Beat's price for entering the game was Rhyme's memories of him as her brother.
When Beat is your partner, he'll sometimes cry out Rhyme's name when you get a game over. If TWEWY didn't have a Slap On The Wrist Death, these would be really effective last words.
Joshua's heroic sacrifice. He spent his entire chapter saying how he thinks that getting attached to others is useless, and that understanding them is a waste of his time. He completely contradicts this when he pushes Neku out of the way of Minamimoto's bomb, and stands in front of him while reminding Neku that he still has things he needs to do. Though the fact that Joshua killed Neku in the first place to make him his proxy in the Game kind of makes this moment a bit less tear-worthy. Then it's back with a vengeance when you read the Secret Report saying he really could have died there if he was a fraction of a second slower. The whole Player Punch was based on the Heroic Sacrifice being a ruse to aim Neku to his victory, but it was real. Add in the fact his defeat in it wouldn't come even close to his death, and the fact he gave Neku a chance to shoot him in the ending...
The secret ending, where Joshua watches Neku reunite with his friends, unable to join them as Neku asked him to, and when Hanekoma tries to talk to him, he flies off without a word. The thought of Neku and the others waiting for Joshua at Hachiko, and eventually realizing he'll never come is particularly distressing as well.
Neku wordlessly taking off his headphones and looking towards the sky could stand on it's own as a tear-jerking scene. But then they paired it with five, simple words: The World Begins With You.
The ending song, "Lullaby for You", particularly the intro to the last chorus, where the music drops down to just vocals and piano accompanying a shot of Josh's not-so-heroic "sacrifice", and the last "You are not alone" accompanying Neku's "What the HELL?!" shot.
May tomorrow be wonderful tooOOOO...You are not ALONE
Two of The Reveals, the ones where we learn that Shiki lost her appearance as her entry fee, and also how Beat and Rhyme die, can really sting for people that can relate to their feelings of inferiority.
Shiki: "When you see the real me...Will we still be friends?"
Another Day has one, for real. If you climb up Pork City, on each floor happy carefree AD!Neku will think in bits and pieces about how years ago, his best friend died, run over by a car on the way to see Neku who had asked him to come. Neku thus feels he "killed" him and is now getting the feeling he's going to lose Mr Hanekoma (to whom he's very close in this universe) in a similar way. This also clears up some of Neku's thoughts on W1D4, though he doesn't remember himself.
"This is just like that time... that time? What time? ... I cant remember."
Mind the fact that during the first week, Eri never got to apologize to Shiki since she died. Many fans theorize that Shiki's accident wasn't an accident. The fact that Shiki is playing the Game for a resurrection is the only thing that makes this unlikely - but Eri doesn't know that. There's a high chance Eri thinks she drove her best friend to suicide.
Seeing some of the friendly Reapers getting erased was pretty sad.
Sota and Nao's erasure. After being so supportive of both each other and the players (even refusing to fight with Neku and Joshua despite them being other competitors of the game) it's quite distressing when Nao is killed off by Taboo Noise and Sota's forced to follow soon after.
An extra layer of Fridge Horror that adds to that one: You can see them alive and well during week 1. What happened to them...?
Beat's backstory in general is the quiet, depressing kind of sad. It's sad enough that nothing he ever did seemed good enough for his parents. Then he says that he just gave up on himself, hoping they would do the same... and they did. The idea of a teenager's parents thinking of him as a lost cause is heartbreaking.