This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Tortall Universe
The Lioness Quartet
Although he was always a Mauve Shirt, only appearing in one chapter, the death of Alanna's soldier friend Thor is pretty sad. Despite her healing magic, all she can do is make him sleep so his death won't be painful.
Tears were shed for the deaths of Thom, Faithful, and Liam Ironarm.
The Wild Magic Quartet
Important and beloved characters often die violently and tragically. Rikash's death scene made this Troper cry like a baby.
She hadn't realized that he meant something to her. She hadn't realized he was her friend.
Daine's mother died before the series' start, and though Daine moves on it stays with her, sometimes. In the last book they reunite and it's seen that Sarra disapproves of her daughter's recent warlike nature - but Daine argues that she learned it from her Ma, after Sarra was murdered in her own home.
What happened to Daine that made her flee her home and come to Tortall? First, her mother, grandfather, and all her family's animals, except Cloud, were killed by Raiders- and she discovers that nobody from the village came to check on them or try to save their life. Afterwards, she finds a wolf pack, who are disgusted by her story, and agrees to help her get revenge. Together they hunt down, kill and eat the raiders. Daine spends months in their company, forgetting who she was and her humanity, only just remembering that Cloud was family and not to be eaten. Eventually she's confronted by her villagers, who think she's gone rabid and needs to be taken care of. Daine almost agrees to go with them, at the beckoning of a family friend, until she realizes her has a bow and is going to put her down. She then goes on the run, more human than animal, with only Cloud's intelligence and perseverance keeping them alive. No wonder she's a Broken Bird by the time the series begins.
The Protector of the Small Quartet
In "Squire", after Crown and Freckle have died, and Kel has buried Freckle next to Crown.
"It's the only bad thing about animals," she told Cleon. "Most don't live as long as we do. "I know, sweet," Cleon said, kissing first on of her eyelids, then the other. "But think how bleak life would be without them."
There's also the story behind the writing of this scene. Pierce didn't want to kill the sparrows, and let them live as long as she possibly could, but finally had to accept that she'd be breaking suspension of disbelief too much to have them live past seven years.
The Wham Episode of Lady Knight when Kel realizes that she failed her refugees.
Made worse by the real life backstory of the chapter: Tamora Pierce had just reached that point when the September 11th attacks happened. Despite the twist having been planned years beforehand, the influence on how she then chose to write it is obvious.
Worse still, she said that when she was done helping, this was the chapter she had to write when she came home—by coincidence, she had stopped at that point in the story before the attacks.
The Trickster books
The murders of Elsren and Dunevon, as well as several other little boys during a birthday party are quite possibly some of the most heartwrenching parts of the entire series.
Made even worse when it's hammered in that this was probably the most merciful outcome because in order for the revolution to succeed, it's necessary to remove any of the Luarin who might have a claim to the throne, including Elsren, meaning that by having Kyprioth manipulate the regents into orchestrating their deaths, the members of the conspiracy were saved from having to do the dirty work themselves.
The deaths of Ulasim and Ochobu are pretty heartwrenching, particularly the former:
Then Ulasim looked up. Dove swooped in on her kudarung, venturing close to the enemy's archers in her need to save him. "Look!" Ulasim bellowed, pointing up to her. His voice rang over the clash of weapons and the shrieks of warriors and Stormwings. "Look at her! See our future? See how we can be great?" He swayed and fell as his darking keened. Below him lay Rubinyan, already dead.
Not to mention that with Junai dead offscreen, the entire Dodeka family is now gone.
Let's talk about Lady Winnamine in particular. Within a year, she's exiled to a remote island with her family, has her dearly loved husband murdered by a dearly loved friend, has her beloved step-daughter elope, and her own son drowned at sea. Throughout it all she still puts on a brave face and does her best to keep the rest of her family safe.
The Beka Cooper books
The scene where Rolond's ghost seizes control of the pigeon he's riding and asks Tansy to help him, not realizing that he's dead. Hearing his voice makes Tansy think he's actually alive and she starts hitting Beka to tell her where he is, which makes Rolond's pigeon go after Beka too for making his mama upset. In the end, Tansy has to tell Rolond he's dead and must go to the Black God.
The death and funeral of Beka's good friend Verene and her training partner Rollo. Which happened during the celebration of Beltane, to twist the knife. Their ghosts appear on pigeons at the funeral. Beka wonders later how more Dogs don't quit or go cracked over the cruelties of the job and reflects that she could die any day of the week.
The spinner next to the prison in Bloodhound is forced to soak up all of the torture and misery coming out of the building. When Beka finds it, it dumps years of pain and suffering in immense relief that it can finally get rid of it. (Including one mention of a Cage Dog realizing she's becoming an Abusive Parent as a result of her brutal day job.) And Fridge Horror sets in when you realize that after Beka leaves, it's going to start all over again.
Tunstall, a very dear friend to Beka from the beginning and a hitherto-unquestionably good guy, betraying her, murdering many people, and attempting to murder a four year old prince, just so he could be made prime minister in a conspiracy to overthrow the throne, thus making him noble and good enough for Sabine. Both weeping the entire time, they must fight, during which time he says things like "You're like a daughter to me, don't make me kill you!". In the end, he begs for Beka to kill him, which she won't. She instead arrests him, taking him to his torture and execution with a torn up heart, except he never makes it because he dies of a combination of his wounds and chill on the way there. Completely out of left field, but beautifully written.
The knife is twisted when Tunstall's ghost returns briefly, riding on a pigeon. He makes it pretty clear that he knows what he did was wrong and he regrets it, but even if he hadn't died, he would never have had the chance to redeem himself, especially to Sabine.
Beka: Don't blame her. She would have married you had you asked, if she agreed to marry anyone. She adored you, and you betrayed her.
Tunstall: And you settled the bill, or started me along the path to settling it, Cooper. The chill of the night and the weakness from my hurts, that finished it, but you put me on the path to your god. Tell her I love her and beg her forgiveness, Cooper. And I love you and Goodwin. The pair of you have always been my true sisters.
The description of the funeral of Holborn, Beka's fiance. Even though we never get to see him onscreen, it's still heartbreaking, especially when his family express their sadness that Beka never officially joined them.
It’s even more sad when you realize that in addition to mourning, Beka is, to some degree, THANKFUL that she didn't have to go through with the marriage. She had loved Holborn, but he’d become manipulative and abusive, and she’d fallen out of love…she'd wanted to leave the relationship, but couldn't, and now is relieved it's ended, but devastated with guilt that it was only achieved through his death.
The deaths of Linnet and Daeggan. She's strangled with the ties to pads Beka gave her to handle hot things with, and left naked on a heap of garbage. She was also six years old. Daeggan was maybe ten or so, and Tunstall murdered him because he was inconvenient. All that little boy wanted was the freedom Beka offered all the kitchen slave children at Halleburn if they ran with her, and he died for it.