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Tear Jerker: Turncoat
Turn Coat has a small but poignant scene toward the end when Harry is talking with Luccio, after they both realized that she had been mind-controlled into being attracted to him. They both realize that the relationship, which had made them both happy and content, was now broken off, likely for good. It's especially bad for Luccio, as she's both confused and angry, and is crying. It's quite clear that this scene is very painful for both of them.
Heavy spoilers for this magnificently beautiful passage: Morgan's death. Since the very first book he has been relentlessly looking for a reason to implicate Harry/find a way to have him executed because he believes that Harry really is a bad, bad man. Then, finally, eleven books later:
His eyes became cloudy. "Do you know why I didn't? Why I came to you?" I shook my head. "Because I knew," he whispered. He lifted his right hand, and I gripped it hard. "I knew that you knew how it felt to be an innocent man hounded by the Wardens." It was the closest he'd ever come to saying that he'd been wrong about me. He died less than a minute later.
On top of that, Morgan admitting that he took the blame for the crime from Luccio, who had originally been set up, because he still loved her as his teacher.
I think he loved her as more then his teacher, which makes it all the more tragic.
The final lines:
"See, here's the thing. Morgan was right: You can't win them all. But that doesn't mean you give up. Not ever. Morgan never said that part- he was too busy living it."
"I closed the door behind me, and life went on."
Morgan's speech inside the bubble.
Morgan in general. All of the above, and the realization that the woman he loved, Luccio, had almost immediately seemed to fall in love with the man he hunted, Dresden.
Thomas at the end of the book revealing that he had been dragged, totally against his will, past the Despair Event Horizon and now agreed with everyone who'd been saying that he couldn't change his nature. Considering he had successfully been a Friendly Neighbourhood Vampire for years now at immense personal effort, to see all his willpower wasted in one day's worth of Cold-Blooded Torture is tragic.
Poor Kirby and Andi. The price of being an Alpha got a whole lot higher in this one.