After everything he's done to save Audrey, Jack painfully realizes he has to let her go, promises he'll always love her with all his heart, and walks off to stare out to sea, completely and utterly lost and alone.
The last quarter of the Season 7 finale is one long cryfest (along with many other scenes).
Tony's monologue to Alan Wilson. That is the sound of a man's heart being broken.
After proving that, despite his obsession in following procedures, he could be just as competent an agent as anyone, Larry Moss getting smothered to death by Tony makes for a real downer, especially given how Tony only killed him to fool Alan Wilson into thinking that he was Evil All Along, meaning that the death was more of collateral damage than anything.
The Heroic Sacrifice of Bill Buchanan in Season 7 comes so suddenly it's almost hard to register, but when Jack has time to actually do so, it's one of the notable moments where he breaks down crying.
President Taylor's decision to bring to light her daughter's complicity in the assassination of Jonas Hodges. Not only does this mean that her last-remaining child will assuredly be sent to prison, but it also infuriates the her husband (as he, after spending so much time hunting their son's killers, argued that they should preserve their family as much as possible). It shatters their family so much that Taylor's husband divorces her in the interim between Season 7 and Season 8. This is made Harsher in Hindsight when one views the entirety of Season 8. Now that she's resigned the presidency in disgrace, Allison Taylor has little to nothing in which to take solace, especially as she had alienated her loyal Chief of Staff by siding so often with Charles Logan.
The complete destruction of Jack and Tony's friendship.
Jack failing to save Hassan in season 8
The death of Renee in after it finally looked like her and Jack could get together, and they would be happy
The fate of Jack Bauer at the end of Day 8.
Even after numerous rewatches, the final conversation between Jack and Chloe almost never fails to break a longtime series fan up.
Shortly before Jack begins torturing Pavel he says "Why couldn't you just leave us alone?!". The entire scene prior to this he's kept a cold attitude the entire time, but the second he says this his voice starts cracking up. After everything he's gone through, it's disheartening to see how the recent events with Hassan's death, Renee's death, and Taylor's betrayal have finally, permanently shattered him.
Chloe being arrested in front of her son Prescott in an added Season 8 feature.
Just about any time an average civilian not protected by Plot Armor gets killed to show how serious a terrorist threat really is.
In Live Another Day we learn that former Badass James Heller (who is now the President of the United States) is slowly losing his mind to Alzheimer's Disease.
"Live Another Day" hits a big gut punch in its third episode when it reveals what's happened to Chloe in the interim since the Day 8. After her time in prison, Morris and Prescott were killed off by some sinister figures in a car crash. Because they were killed on the drive to Prescott's soccer practice, something Chloe usually did but opted out of at the last minute that day, Chloe believes the job was done to take her out, and that she inadvertently caused her husband's death. Immediately upon hearing this, Jack embraces a (now-crying) Chloe. This is both heartwarming and a further case of Tear Jerker, because it goes to show how much Chloe and Jack have become Birds of a Feather, given how Chloe's despair is almost exactly how Jack reacted upon experiencing the deaths of Teri and Renee.
It's particularly gut-wrenching when you can see just how used to it Jack has become. He's talking to her as a veteran to the kind of pain that's new to her. He has lost everyone, and become heartbreakingly used to loss in a way that no human being ever should be.
This becomes even more heartwrenching when Chloe finds out that their deaths were actually just a run of the mill car accident and Adrian lied about her being the target to manipulate her.
Jack and Audrey's reunion is a heartbreaker for the ages, particularly when one realizes that (based on the 24 timeline) it's been a decade since they last came into contact with each other. And even then, it's been longer since they had held a conversation with each other, as their last meeting was following her post-torture breakdown in Season 6.
James Heller's (apparent) demise. He decides to sacrifice himself to save London, convinces Jack to transport him to Wembley Stadium and is promptly immolated by a hellfire missile when he walks out into the middle of the field
Luckily it was revealed to be a ruse by the start of the next episode, but it doesn't make the moment any less harrowing. When the episode begins everyone (other than Jack of course) are stunned beyond belief.
Kate gets revenge on behalf of her husband, but she's still stuck with what happened: he killed himself after seeing that she no longer believed he was innocent. Jack can only advise her that you just learn to live with it.
In the final episode, Audrey is pinned down by a sniper. Kate arrives to save her, and seemingly succeeds.... until a second shooter opens fire. In the ensuing chaos, Audrey gets hit by a stray bullet. After everything that she had suffered throughout the series, watching her slowly bleed out is agonizing. Not only that, but her death affects many of the other main cast members in terrible ways.
President Heller's final scene when he tells the Prime Minister a story about one day due to his Alzheimer's he didn't recognize the photo of Audrey on his desk and that eventually he won't even remember he had a daughter or anything at all.
Mark is left horrified (and nearly speechless) when he hears the news of his wife's death, as many as the more heinous actions he'd taken in circumventing Jack had been done out of a desire to protect Audrey at all costs. In the episode's epilogue, he's seen being led off to prison (with Erik cooly sending him away), and all Mark can do is sincerely inquire about his father-in-law's health, before dropping back into a silent shame.
Kate, just after getting back into her superiors' good graces, subsequently resigns from the CIA, treating Audrey's death as a failure too monumental to get over. The apologetic tone in her voice when she breaks the news of Audrey's death to Jack is pretty deflating.
Jack's reaction immediately after being told the news is pretty shattering, as it provides him with yet another Despair Event Horizon (and is eventually a catalyst in his decision to surrender himself to the Russians). The scene is shot to pretty directly mirror his reaction to Kim's (apparent) death in the Season 1 finale, right down to his Roaring Rampage of Revenge on Cheng Zhi and his troops.
After 9 days of days of saving the world, it seems that Jack's final fate is... rotting away in a Russian gulag. It's made all the more painful when it becomes apparent this is a parallel to Jack being captured by the Chinese at the end of Day 5, only made slightly better by the fact that Jack willingly gives himself up and seems more or less fine with being imprisoned as long as Chloe/his family don't come to harm. Even so, to longtime viewers of the show it can feel like such an unfair ending that it makes you wish for a Day 10.
Even More Upsetting the creators have talked about pitching a Day 10 mini-series, except this time, if they ever go through with it, Jack may not be involved!!!