Conrad Knox's death. Despite being utterly delusional, he had well meaning intentions and in the end was slowly reduced to blowing his brains out in a filthy South African street after crossing the Despair Event Horizon
Rebekah Levy's death. In an aversion of Boom, Headshot, she doesn't die instantly, and lasts long enough to recite the Shema Yisrael and say goodbye to Scott
Rachel Dalton's death might be one, if you felt sympathetic for her. While she went off the rails near the end, it was clear that she cared about her team enough to try to seek revenge for them, and she was right about everything. That's not the truly sad part, however. The worst part is that nobody seemed to care all that much. Scott even declines the usual memorial drink they have for fallen comrades, saying that it's better that she's no longer with them. And Richmond even agreed. All this despite the fact that she saved Johannesburg with them in the previous season, and even took a bullet to try and stop Knox from tripping the deadman's switch. Meanwhile, Kumali, the person who actually pulled the trigger on Baxter, was welcomed into the group, and Dalton was blamed for putting him in the line of fire in the first place even though it's a hazard of the job. After The Reveal, she's vindicated, but the fact that she was disregarded as crazy for so long is still sad.
John's reaction to Lexie telling him that his wife has died due to complications in surgery to remove a tumor. He's clearly distraught but keeps it bottled in to comfort his daughter. It's only after she hangs up that he begins to cry.