Hela shatters Mjölnir, Thor's iconic and trustworthy weapon, basically a part of himself. Given how devastated Thor was when he wasn't able to lift it in his first film, one can only imagine how he must feel now that it's been destroyed beyond repair.
Thor, the proud prince of Asgard, is now a slave. How the mightyThor has fallen.
Word of God has confirmed that Jane Foster will NOT be in this movie, meaning that Thor will no longer have her support to rely on during his dark times in this movie.
Just the images of Asgard getting destroyed. One of the selling points of the Thor movies was the gorgeous rendering of Thor's homeworld. Now, seeing it in flames will strike a nerve for many who had grown attached to Thor and his world for thelast six years.
Loki in the first trailer, when he pulls out knives, looks so shocked and sorry. The home he grew up in is facing death herself, and it's so beyond him that there's very little he can do.
Thor and Hulk sit down to have a heart-to-heart talk and the poor Hulk sounds so ashamed of his burning rage. This is normally the sort of thing we expect to see from Bruce Banner.
Word of God from Mark Ruffalo is that the reason for the Hulk's increased vocabulary in this scene is that it's been two years since he turned back into Bruce, either refusing to change back on his own as atonement for his actions in Age of Ultron or forced to stay by his captors.
Thor by this point is just utterly indifferent to Loki. He doesn't love him, he doesn't hate him, he's simply given up on him. And Loki is immensely troubled by this. During a scene on Sakaar, Thor even tells Loki that he once thought the world of him, and thought they would fight side by side forever before Loki betrayed him.