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Tear Jerker: Warrior Cats: Omen of the Stars
Longtail's death in Fading Echoes. Briarlight being crippled, too.
Anything related to Graystripe that isn't Firestar. His first mate dies, his second mate gets horrifically ill, his children die (Feathertail), run away (Stormfur), get crippled (Briarlight), or perform Face Heel Turns. He himself not only goes through this, but gets kidnapped and returns to find everyone migrated away and his old home destroyed.
That last line in Sign of the Moon, "I will wait for you forever, Jay's Wing!"
Firestar's death at the very end of The Last Hope.