Natasha and Maria Hill's reactions to seeing Nick Fury on the operating table and his subsequent "death" are heartbreaking. Hill is desperately trying not to cry. Natasha is already in tears.
Natasha in particular keeps muttering things like "Come on, Nick, you can't do this to me".
Steve visits Peggy, now an elderly woman, and they have a heartfelt discussion about Steve's place in the world. Then when Steve gets her a glass of water, she begins to cry when she realizes that Steve is there, thrilled that he's alive, an obvious indication that she has Alzheimer's or dementia, and her memory and lucid moments happen at random. With that comes the realization that Steve has probably done this multiple times, and that Peggy will probably never permanently retain the knowledge that he's alive.
Poor Steve is clearly barely keeping it together in this scene.
Up until that point, Peggy is perfectly lucid and has presumably perfect memory of Steve. It comes out of nowhere when she forgets and realizes that Steve is there and alive. To anyone who's experienced a loved one having Alzheimer's or dementia, it's a solid punch to the gut.
Steve's situation in general. Only two people from his past are still alive. Peggy lived a long, fulfilling life and has aged, yet she is unable to permanently remember that he is alive. Then he finds about the other one: Bucky, who he thought was dead. To make matters worse, his best friend has been used as an assassin to help the shape the world into an era of cynicism and paranoia, and unlike Peggy, Bucky doesn't remember him at all. Steve's public image and legacy is basically immortal, judging by the museum exhibit. Everyone remembers him, except for the two people he loves the most.
His admission that Peggy being one of the founders of SHIELD is part of the reason he joined them. Then we learn that HYDRA had been infiltrating SHIELD from nearly day one and that the organisation that Peggy was so proud of creating, ultimately was twisted into the very monster they wanted to protect people from. Zola then proceeds to twist the knife even further, by pointing out that since HYDRA wasn't defeated, this meant that Steve's sacrificing his life and his future with Peggy was ultimately meaningless and achieved nothing.
Steve saying "Well, I couldn't leave my best girl. Not when she owes me a dance."
If you carefully watch Steve's "polio and Internet" speech at the beginning of the film, you can see him pause for just a moment after Sam asks the question. Then Steve mentally shifts gears, and gives what is probably his pat speech when people ask him that question. He's deflecting, rather than answering the question Sam's actually asking. Sam, with his comments about soft beds, shows that he sees through Steve's act.
Fridge Brilliance: Of course he did, he's a veteran's counselor, he's heard lines like that before. Being a vet himself, he may have used that tactic himself.
When the Winter Soldier begins to remember who he was, Pierce wants to put him back on ice, and then has the agents 'wipe' his mind. The process looks agonizing and this doesn't seem to be the first time that this has happened.
The absolutely broken way he keeps repeating, "I knew him," with a heartbreaking expression on his face.
And that fact that he doesn't even fight. He accepts it like it's a routine doctor's visit.
The way he doesn't react to Pierce backhanding him is a heartbreaking indicator of just how common that kind of abuse from his own handlers and superiors must be, for him to be so accustomed to it.
He's just so passive and submissive in this scene. We know by this point that the Winter Soldier is capable of ripping through everyone in the room like they were wet tissue paper, yet he's so broken and helpless here that he's practically childlike. And he freely submits to the painful-looking memory wipe, despite the fact that he clearly hates it.
The fact that Bucky, a man who was both a brother and comrade to Steve, has been brainwashed and abused over the course of several decades to the point that he's become a slave for HYDRA is nothing short of heartbreaking.
Steve's reaction upon finding out who the Winter Solder is mid-battle. He just stops fighting, stunned that his best friend is still alive 70 years after falling to his death.
The reaction immediately after that, where Steve incredulously (and even somewhat hopefully) says "Bucky?" which is then immediately followed by "Who the hell is Bucky?", is heartbreaking in the utter dismissal. Steve goes from hopeful to crushed in five words and half a second.
The flashback to Steve and Bucky, before they enlisted in the Army, following the funeral of Steve's mother.
And the subtle way it shows that Bucky sees Steve as his equal and brother. Unlike everyone that looked at Steve, Bucky knows he's strong. He doesn't want to help because Steve can't do it; he wants to help because he knows Steve would take the burden from him if their roles were reversed.
Steve's willingness to die for his best friend. He chooses to stay and help the pinned-down Winter Soldier while the helicarrier they are in is blowing apart and with the risk that the brainwashed Bucky may still choose to kill him. And when Bucky does make that choice, Steve, satisfied that his own mission is completed and the world is safe, chooses not to fight him, accepting that he will get beaten to death by his best friend, for his best friend. Bucky may not have his memories back then and there, but seeing Cap's willingness to die by his hands for his sake makes him see that his perceived enemy is truly sincere, giving weight to Steve's insistence about him being his friend. And so he chooses to save Cap after Steve falls from the helicarrier and into the water below.
Steve: I'm not going to fight you.(Drops shield out of the Helicarrier.) You're my friend. Bucky: You're my mission.(savagely beating him, punctuating each word with a punch) YOU'RE! MY! MISSION! Steve: Then finish it, 'cause I'm with you to the end of the line.
In a similar vein, Steve's willingness to beat the unholy hell out of Bucky if it means saving innocent lives. No, he's not happy doing it, but he still has the conviction and determination to put a chokehold on Bucky and he keeps applying pressure to his larynx until it's too much and Bucky drops the chip. As soon as Bucky's hand goes slack, Steve releases him and gets back to work, and only then does he drop his shield and refuse to fight. He's willing to do exactly how much it takes to save people, and no more — he won't kill Bucky — but also no less, because strangling your lifelong BFF for 20 million mostly-strangers still requires a hell of a lot of mental fortitude and moral fiber.
The song for this scene only adds to the gravitas of the scene. Soft, quiet, mournful. Hell it practically sounds like a musical tribute to the passing of a friendship like very few ever achieved. Even if the Winter Soldier gets his memories back for good, that means remembering all the people you've killed and one of those people you almost did kill was your absolute best friend in the world. It also means knowing that you've shaped the world, just as Captain America has...except for the worse. You've turned it into a paranoid shadow of its former self, too afraid to trust and oh-so-willing to kill for "safety".
Right before the climactic battle between Captain America and the Winter Soldier, Steve coldly tells Bucky that a lot of innocent people will die because of HYDRA, and he can't let that happen. And as Bucky begins to psyche himself up for the battle, Steve almost cries at the prospect of having to fight his best friend to the death. "Please don't make me do this." The sheer brutality of the battle that occurs is heart wrenching after this.
The exchange between Nick Fury and Steve about dissolving S.H.I.E.L.D. from top down is quite an emotional moment, considering how it has been rubbed to both their faces already that because of HYDRA hijacking S.H.I.E.L.D., everything they've worked and fought for for the past years appears to have been all for naught. For all our misgivings of Fury's secrets, it's not hard to sympathize with him. He's basically getting fired from a job he loves and has poured decades of his life into.
When discussing why he didn't tell Steve and Natasha that his death was faked, Fury says that he "wasn't sure who [he] could trust." The camera cuts over to Nat, who is visibly upset by this. It calls to mind Steve's own words about being unsure whether to trust her earlier in the film — for all her bravado and emotionless attitude, it bothers her that her own comrades don't trust her.
The Stinger in which Bucky goes to see the Captain America Smithsonian exhibit.
Every example of nameless S.H.I.E.L.D. personnel, some of them not even soldiers, who try to stop the S.T.R.I.K.E. crew and the launch of Project Insight after Captain America's call to action. Outnumbered and outgunned, they know exactly how it will end, but they make their choice regardless. All the more poignant for how painfully brief each sequence is - most of them didn't even stand a chance.
The S.H.I.E.L.D. man at the console with Rumlow's gun to his head, shaking and crying in fear but still unwilling to activate Insight, knowing that he'll die for his refusal, knowing that his death for refusing will amount to nothing, but still making that choice. Thankfully, he's one of the survivors.
The reveal that the accident that killed Howard and Maria Stark was actually them being murdered by HYDRA. Man, Tony's gonna be pissed.
It's gets worse when you realize that the implied reason for their deaths is because Howard realized that HYDRA had corrupted SHIELD. This must have led to his emotional turn later on life. In fact, his decision to push Tony away and send him to boarding school was probably an attempt to protect him from HYDRA.
Plus, it's possible that the Winter Soldier was the one that killed them. That could certainly put a strain on Bucky's (and Steve's) relationships with Tony and the other Avengers if/when he joins them.
Tony won't be too happy to find out that the arc reactor tech he gave SHIELD to use on the Helicarriers was actually being used by HYDRA, and would have been used to kill him (as well as 20 million other people). And all this just after he got the shrapnel removed....
He also won't be happy when he finds out that his parents are dead because of HYDRA as mentioned above. Or that HYDRA was there when Howard first started building it... We know what happens when billionaires lose their parents.
Nick Fury confronting Pierce at the end is obviously very sad and painful for him. Nick is amazed that the man who hired him to be director and was The Mentor to him, once rejected a Nobel Peace Prize, is actually an unbalanced Well-Intentioned Extremist. His Pre-Mortem One-Liner before he shoots him sells it.
One has to feel a little sorry for President Ellis. His administration began with the whole Mandarin incident occurring, which ended up including his Vice President being in on it. Then, just a year and a half later, the whole world finds out that HYDRA has been secretly running or influencing SHIELD since its inception and that they very nearly succeeded in perpetrating an attack on the U.S. that would have been far more devastating than 9/11 and Loki's invasion combined. There's no doubt that while Ellis is in no way responsible for these events occurring he will most likely be blamed by many members of the public and possibly going down in history as one of the worst or ineffectual Presidents in the history of the nation. Still, at least it's better than being vaporised by helicarrier fire, which could have happened had Steve been only a few seconds slower.
When Sam asks Steve what makes him happy, Steve doesn't have an answer. He has no life outside of combat.
Sharon discovers during the course of the film that SHIELD was being manipulated by HYDRA all along, and her Aunt Peggy poured her life into SHIELD, and inspired Sharon to do the same. She essentially discovers that everything she and her aunt believed in was a lie.
And when she bursts into Steve's apartment revealing her true identity, the look on her face when she sees a nearly dead Fury is heartwrenching. Especially since Fury personally assigned her to keep an eye on Steve.
Pierce's maid being murdered just because she left her phone behind.
The meeting of veterans in the VA office that Steve stops by to see. We see a soldier telling a story about how she was once pulled over because a cop thought she was driving drunk. She had seen a plastic bag and swerved dangerously because she thought it was an IED. That's the kind of stuff that the people in the Middle East have to deal with for years, possibly the rest of their lives after they come back home.
Even worse, what about the people for whom the Middle East is home? How much worse for them?
Heck, just about everything about the Winter Soldier is sad, the fact that HYDRA has turned Bucky, who was charismatic, and and was loyal to Steve, has been turned into an emotionless assassin who seems to regularly gets treated to painful mind wiping procedures and abuse from the very Organization he fought and "died" to defeat.
Natasha's reaction to discovering that the organization she dedicated her service to remove the "red" from her ledger was H.Y.D.R.A. in disguise.
Natasha: When I joined S.H.I.E.L.D. I thought I was going straight. Turns out I just traded KGB for H.Y.D.R.A.
Emphasis has been placed on Peggy being unable to remember that Steve is alive is already tearjerking but we know from the end of the film as well as AOS that it's all over the news that Hydra had infiltrated and hijacked Shield. So now Peggy can find out every day for the rest of her life that the organization she helped found and poured decades of her life into was taken over by the organization that took away the man she loved and fought so hard against. And with her dementia/Alzheimer's she's going to have to relive this fun fact over and over.
This movie has just been people betraying and keeping secrets from Steve left and right. By the end of the film, he has only two people that he can 100% trust. Especially gut-punching with Sharon Carter, a kind neighbor who Steve surely believed was a breath of fresh air from the liars at S.H.I.E.L.D., but was yet another person that has kept him in the dark.