Scoutmaster Harlan, who is taken away by the children in "Eternal Scouts". The last thing we hear from him? "We could have had something, Cecil." To add salt to the wound, this is the one thing Cecil has to say about it:
"I hope that he continues to be both proud and terrified in whichever new reality he finds himself. I think often about the last moments with him, and the things that were said."
Made worse in Episode 36 when it's revealed that they were childhood best friends.
The oddly bittersweet traffic in "The Man in the Tan Jacket":
"There is a car. It's not in Night Vale, or even in the desert which cradles our little town. It's out somewhere, beyond that. There are many cars there, but I'm speaking only about one- blue, squarish, with tires and windows and an engine that works most of the time. A woman is driving it, and she is also glancing whenever she can at the child in the passenger seat. He is a child, but he is 15. You understand. She is glancing at him, but she is not saying anything, and he is not saying anything either. She wants to cry or she wants to push him out of the car. Or, she wants to go back in time and insist on using a condom. Only she would never do that. She wouldn't change any of this, really. Not for all the money, piles of money, some of it defunct money from defunct and absent governments. She wouldn't give any of this back. So she drives her car, blue, squarish, with tires and windows and an engine that works most of the time. And she glances at the 15-year old child, and neither of them speaks."
Episode 22's weather, "Winnifred" by Seth Boyer. It's a generally melancholy-sounding acoustic guitar piece that becomes even worse if you're a Joss Whedon fan and know that the lyrics are about Fred's death.
As of Episode 32, Old Woman Josie's angel friends have inexplicably left Night Vale. She's not happy about it in the slightest.
Episode 33 has some cassette tapes with recordings Cecil made when he was 15. While they are mostly in turn adorable or creepy, they also give us some idea of what Cecil's home life was like.
"My mom seems really proud of me, too! She hid from me for three days, the longest time ever!"
"Some of us are not here. We leave space for them."
Cecils terrified voice in 19B upon seeing the other radio station.
" Megan loves computer. Computer simulates love for Megan." OH GOD THE FEELS.
And then, after he tells Megan he loves her (or at least tries his hardest to), after he promises he'll make the world a better, safer place for Megan, after he promises end all war, he's unplugged. And Megan...
A single, adult man's hand is slipping, sadly, down from the keys of a darkened computer. She scurries a little slower than before. Maybe her knuckles slump as she makes her way home through quiet streets.
When asked for what she wanted, Megan simply answered "For everything to get better." And then Cecil goes on to say that it was cute, but "it's not like things will ever get better," which really says something about his outlook on life.