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.
Extra heartbreaking when you remember that the Angels were around since the show started. Seeing them leave and hearing that poor Josie blames herself for it is deeply upsetting.
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. Space that has been emptied by time."
" 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.
When Cecil is bought by someone in "Auction". We don't know who did it, or why it only took one bid...but Cecil is absolutely terrified at the end, and while he wishes he knew who did it, would just settle for somebody making him feel better at that point.
There's also this bit about death
And yes, you will die – but probably not until everyone you know is already dead, too. Your parents, your friends, your pets...each death leaving a small but irreparable scar on your not-yet-still, still-beating heart. The living tell the dying not to leave, and the dying do not listen. The dying tell us not to be sad for them, and we do not listen. The dialogue between the living and the dead is full of misunderstanding and silence.
How "Numbers" ends. Fey turns out to be just a computer program, rebooted almost immediately and impossible to disconnect.
Also, keep in mind the fact that Cecil clearly identifies with her situation and the Strexcorp take over...it must almost feel like its saying that he's doomed to fail, also.
There is no worse fate than working for a radio station owned by an organization thats goals are not your own, constricted to the limited language they allow you, and relaying messages that you do not understand or agree with. That would be awful. A radio announcer put in that situation, such as… Fey… would be justified in escaping or overthrowing their management.
"I can only do what so many of you can only do. I can only... listen. Listeners (and here I address also myself), remember our limitations. There are boundaries to all of our worlds. Fey, for instance, appears to be self-aware software trapped in a heavily defended metal box. But within our limitations there is not limit to how beautiful we can become; how much of our ideal self we can create. All the beauty in the world was made within the oppressive limitations of time and death and impermanence. And, Fey... you are so, so beautiful."