Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Tearjerker: Big Finish Doctor Who
Lucie Miller's parting speech to the Doctor at the end of "Death In Blackpool" — both of them nearly in tears, while Lucie explains that she has to leave so she can remember him as she wants to, as a good man. All while "In The Bleak Midwinter" soars in the background. Actress Sheridan Smith was actually in tears throughout the whole thing.
"Scherzo", in which the Eighth Doctor and Charley Pollard actually decide to talk about their feelings for each other. Up until that point, Eight had made a good show of ignoring Charley's obvious crush on him. For his part, he loves her very dearly, but just not in that way. Talking about it... does not go well.
"Spare Parts" — the scene in which Yvonne, half-converted into one of the prototypical Cyberman and for all intents and purposes lobotomised, is taken home by her family for the Mondas equivalent of Christmas. Her cries are deeply, deeply disturbing.
"The Wrong Doctors" An older, wiser, kinder Six tries so hard to comfort a younger, amnesiac and terrified Mel. Then he makes a promise to her in her last moments which neatly slots his BF adventures into place:
Young Mel: I-I liked his [younger Six's] coat.
Older Six: Then I shall wear it again, for you.
The fate of the alternate Sixth Doctor in "Jubilee". To see such a strong, intelligent, arrogant and yet kind being be reduced to a mindless, crippled, and utterly broken figure is bad enough, but when he attempts to come to grips with the death of alternate Evelyn in front of him, and Real Evelyn tries to reassure him about how grateful she is that she met him and how she forgives him for not being able to save her, his one moment of lucidity in thanking her just makes the scene so much sadder.
In the adaptation of Love and War, Sophie Aldred's performance when she walks out on the Doctor after he gets Jan killed is hard to listen to.
"The Chimes of Midnight" — Hearing of Edith's miserable life and how she killed herself after Charley apparently died because she felt Charley was the only person who cared about her. This makes the part at the end where the butler is convinced to complement Edith a Heartwarming Moment.
A fridge example brought on by the Night of the Doctor mini-episode in which Eight remembers Charley, C'rizz, Lucie, Tamsin, and Molly as his companions from the Big Finish era. While this is a truly awesome way to bring the entire BF line into full Canon it also means that Molly was possibly the last of his "long term" companions, which together with other hints mean that the Time War was likely raging during his latter BF adventures, which adds an extra dimension of tragedy of these stories.
Pretty much the entirety of "To The Death" is one long breaking of the Doctor and Susan as literally everyone they love is slaughtered by the Daleks. First the Doctor awakes to find not only have the Daleks launched a second invasion of Earth led by the Dalek Time Controller, but Lucie was left on there fighting an increasingly nightmarish war against them, leaving her half blind and handicapped due to the Dalek's bio-weapons. Tamsin is gunned down by the Daleks despite the Monk desperately pleading for her life, Alex sacrifices himself to give Lucie a chance to defeat the Dalek's plan and is exterminated in front of Susan who becomes completely hysterical after seeing her son die, and finally Lucie performs another Heroic Sacrifice to defeat the Dalek Time Controller. In the end Susan is left completely alone on a desolate earth and the Doctor is driven near insane with grief and rage, promising to annihilate the Daleks should he ever get the chance, seriously contemplating breaking the rules of time, and outright declaring that he wishes to be as cold and heartless as he was in "An Unearthly Child" when he attempted to murder a wounded caveman to save himself. Forshadowing both the Time War and the "Time Lord Victorious" and helping to explain why he eventually became the War Doctor.
Even the extremely amoral and cowardly Monk is shown to be utterly horrified and guilt-ridden over all the suffering he caused and is nearly sobbing when Tamsin is killed.