The scene where the White Knight confesses that he's not actually the original White Knight, and that he was a squire who ran and hid when the bad guys attacked, leading to the death of all of his friends, and that he has been trying to make up for it ever since is quite sad and well-acted.
"Jack's a lucky guy." "What?" "Nuffin'."
Hatter's doomed campaign to rescue Alice a second time. Charlie's betrayal and Hatter's overwhelming opposition from the suits are especially sad.
When the castle is being evacuated, the Queen of Hearts demands to know why her husband isn't escaping with her. The King of Hearts sadly tells her there's no point, for him. Every single thing he did, including conquering all of Wonderland, was to make her happy. He now can see that she has no interest in him and nothing he can do will change that, so he's going to stay in the collapsing castle and die. And she leaves him.