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Tearjerker: Archie Comics' Sonic the Hedgehog
Sonic the Hedgehog made itself stand out from other Talking Animal books by way of the story in issue #18 where Sally's mentor, Julayla, passes away. (Reviewer Dan Drazen has noted several times that it was because of this particular story that he took interest in the comic.)
Issue #168, when Antoine's father died. His final moments were spent telling Antoine how proud he was of him, and giving his approval of his relationship with Bunnie.
Issue 225. Eggman attacks Sally with a gun turret that goes off three times. Sonic turns to the scene and gives a look of pure horror and despair. The last image of the issue is a closeup of Sally's shattered goggles...
The end of Issue 230. Following the events of the above example, Sonic resets time by ten seconds, enough to save Sally from the turret. However, Eggman has an ace up his sleeve... a WorldRoboticizer, poised and ready to fire . Sally goes down into the workings of the Death Egg II to try to stop it, but the only way to do so in time is to invert the beam on her exact location. Sally orders Nicole to do so without hesitation, uploads a final message, and says a teary "Goodbye" as she presses the button. There is a massive explosion. Sonic and Eggman pull themselves out of the rubble, with Sonic gloating that they've won again... and then a metal fist punches through the debris behind them. Sonic's expression changes to one of absolute horror, and Eggman starts to laugh as Mecha Sally emerges, intoning "Hedgehog, priority one." End of issue. Ben Bates' art sells the mood throughout, but Sonic's face at the end is just heartbreaking.
Eggman gets one during his climactic showdown with Sonic as he goes from villainous gloating to just screaming in rage and insanity, tearing at his hair and finally just going almost catatonic. In his later appearances, he's so genuinely demented it's actually a little upsetting. He was pure evil, but seeing a man who was once the greatest genius on Mobius not even knowing what year it is or where he is was A Fate Worse Than Death that even a scumbag like Eggman didn't deserve.
When Mina Mongoose comes to see Nicole, exiled to a limited server in a disused cave, Nicole sums up her emotional state after two years of brainwashing, loss, and betrayal:
> I am here.
> I am where I can hurt no one.
> I am where no one can hurt me.
The whole character of Jules Hedgehog, Sonic's father. He is a robot. However he was once a hedgehog. After all the other roboticized people had been cured, he was left the Last of His Kind. He can't eat or sleep. Poor guy...
One of the storylines had an alien race restoring all of the roboticized mobians to normal. But Jules had been roboticized because of a war wound that would have killed him otherwise. Because of that wound, he alone (besides the robians outright killed during the war with Robotnik) can never be Mobian again.
A subtle one: After Ixis Naugus was made King, he ordered that Nicole be exiled from New Mobotropolis. While the council, including Rosemary Prower (Tails' mother), didn't want to do it, they didn't have much choice; the public outcry was too much to argue with. When Sonic and the others found out, Tails couldn't bring himself to call Rosemary "mom". In a later issue, Tails spots Elias under dubious circumstances (he's about to secretly return to the city to covertly fight Naugus), with the latter asking Tails to trust him, even though he may never be able to say what he's doing. Elias has no authority over him and could be doing something dangerous for all he knows, but Tails agrees and hasn't said anything about it to anyone since. To think that Tails has lost that much faith in his own mother is just heartbreaking.
The end of "Endangered Species". The Chaotix return from their own adventure when they spot Knuckles by the Master Emerald shrine and no sign of Julie-Su and Saffron save for Julie's blaster. When the Chaotix ask him where they went, Knuckles can only smash the ground in defeat - they and the echidna race were possibly lost forever. For the first time in years, Knuckles was alone again.
Know what makes this even worse than that? When you look at Knuckles' section in the character page and see how he wasted four chances to defeat if not destroy Robotnik/Eggman, and the indirect role he played in what happened in Albion, one could say that this is Knuckles' karma catching up to him; that he deserved this.
After Sonic returns from Worlds Collide he winds up on a version of Mobius he hardly recognizes! He's also not on the Death Egg anymore, meaning all of that hard work to try and rescue Sally was in vain. Poor guy.
One for Geoffrey St. John as well, since he just wanted to make his home strong and prosperous and honor his family. Restoring Naugus was pointless because -despite having a Chaos Emerald- Naugus was powerless to protect even himself from any enemies or heal the sickness that the first Genesis Wave gave him in the old timeline. Additionally, this made New Mobotropolis vulnerable to both the Tails Doll and Naugus' magic. There's also the fact stealing the Chaos Emerald to begin with led to Sally's roboticization (and Silver's disaster as a result) by dividing the Freedom Fighters to where only Sonic and Sally could get in the Death Egg, and possibly the crossover which dragged Megaman and Blaze's world into the crossfire. As of 252 Naugus was stripped of his powers by the first Genesis Wave in the new timeline, further sealing the fact that after all his work Geoffrey's failure spans three universes and two histories. Not even Venture Brothers takes its failure theme that far.