Bullet's death and Holder's grief about it in "Reckoning".
The whole of "Six Minutes", especially the end, when Ray Seward is hanged and his death is not instantaneous, leaving him in the throes of death for six minutes before finally expiring.
Stan screaming "Is this my daughter???" when the car with Rosie's body in its trunk is found in the pilot with Mitch listening on the phone, which is also a brief nod to a similar scene in Twin Peaks.
When Mitch and Stanley tell their sons what has happened to their daughter, Rosie. Heck, every scene with Rosie's family.
Rosie's death scene and her video in "What I Know". Just the fact that the reason for Rosie's death was that she just wanted to make a nice film for her family and ended up in the wrong place at the wrong time.
Holder begging Linden to open the door, and then walking away and leaving his badge on the floor in the hall.
In the Season 3 finale, Danette standing on the bridge where we first see Kallie, closing her eyes and counting down to zero... in vain hope that Kallie will be there when she opens them like she always was when they played hide-and-seek in her childhood.