The first real stinger would have to be in The Reptile Room when Uncle Monty is discovered dead.
In The End when Kit is trapped on the makeshift raft, in labor, and the series' long-running villain, Count Olaf, lifts her off and kisses her "One last time." Then, with a bit of darkly humorous poetry, he gives one final "HA!" and dies from a harpoon injury. The Baudelaire children then help Kit give birth to a healthy baby girl, who they name after their mother. Kit dies in childbirth, and the author gives a beautiful speech about the moral ambiguities of life and ends the story on the usual mysterious note. Then, comes the epilogue chapter, where the Baudelaires are preparing to leave the island for good after one year. They constructed a boat, and named the boat, like the baby, after their late mother, Beatrice. For background, all the book have been dedicated to the narrator's long-lost love, Beatrice, and he regularly includes little shout-outs to her in the text. The revelation in the end that the children he's writing about were her's explains why he wrote the books all by itself.
The painful stanza from "This be the verse" by Philip Larkin:
Man hands on misery to man It deepens like a coastal shelf. Get out as early as you can and don't have any kids yourself.
Then when the Baudelaires visit Count Olaf's grave and sit there silently, beyond words.
The fact that the boat that they left the island on was named Beatrice is especially important if you read The Beatrice Letters, a companion to the series. There are punch-out letters which are supposed to give a message to the reader once they've been unscrambled. The message: BEATRICE SANK. Tears ensued. Still, the books occasionally mention what the Baudelaires thought when looking back on events years afterwards, so at least one of them must have survived somehow.
The "denouement" of The Penultimate Peril - and indeed of the whole series really - is utterly devastating. The court case turns out to be a total farce, two of the three judges turn out to be evil villains whom we have previously met. The Baudelaires have no choice but to help Olaf escape. And then Sunny suggests that if they burn down the hotel, it will aid their escape (and act as a signal that "the last safe place is safe no more.") We don't really know, but it is implied that this kills perhaps hundreds of people.
At the end of The Grim Grotto, when Fiona tells Klaus to think of her when he thinks of his favorite food.
Lemony. TO clarify, his betrothed left him for a mutual friend, she was happy and had three children, then died at the hands of an old acquaintance. Lemony then made it his life's work to document the sufferings of said children, to write down all they had lost, and that he had lost with them.