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Tear Jerker: Yu-Gi-Oh! GX
Aster's memory of the night he found his father murdered. He picks up the Destiny Hero Dreadmaster card realizing those cards are all he has left of his father while crying.
Jaden trapped in the mind of the Supreme King. The happy-go-lucky hero who's reaction to immensely powerful harbingers of doom and darkness have ranged from comedic to inspirational is trapped in a perpetual Despair Event Horizon where he's unaware of the horrible things the Supreme King is using his body to do, and where he can only wallow in self-loathing as he blames himself for his friends' apparent deaths.
The above entry is so traumatic for him that he spends almost the entirety of the final season as a cynical Hurting Hero. He rarely spends time with his friends, almost never smiles, only duels—his passion and most joy-inducing pastime—when doing so is absolutely necessary when it comes to saving the world.
The other Broken Ace, Ryou/Zane, was just as heartbreaking. Used to be respectful despite his stoic and aloof behavior, he finally snapped after a humiliating loss and willing to do anything to achieve victory even at the expense of his little brother. Syrus is left heartbroken that he couldn't save his big brother. Ryo gets better, but it's still sad to see the once respectable Kaiser bounded to a chair.
Syrus in season 3. After losing his big brother emotionally, he now faces the same situation with his best friend.
Jim trying to save Jaden from the Supreme King. Jim knows Jaden is Not Himself and desperately tries to reach Jaden inside. Why? Because Jaden was his honest and simple friend. Despite Jim's Determinator attempts and a fierce duel, the Supreme King cruelly kills Jim without any remorse.
Edo losing the duel and his life to Amon by Exodia. The first thing Edo does is make sure his friends can escape before saying goodbye to Judai, and this is all after Edo tried to save an innocent person Echo from being murdered by Amon.
Zane dying in season 3. He comes back in season 4 though.
The flashback of a young Yusuke Fujiwara losing his parents at the morgue and Honest appearing to embrace him.