Cry for the Devil: Even after everything he does, the terrible fate that awaits him at the end of the book makes it hard not to feel bad for Ner'zhul, especially when you think about how much he suffered in Rise of the Horde.
Jerkass Woobie: Alleria. She has suffered much, including the loss of her brother and the devastation of her homeland, but she brings a great deal of that suffering on herself after she Took a Level in Jerkass and began on a self-destructive crusade of revenge against the orcs.
Ner'zhul himself. Jerkass definitely, but at the end he runs into Kil'jaeden and subjected to a And I Must Scream.
Tear Jerker: Khadgar calling Alleria out on the person she's become. The worst part is when he tells her that she's throwing her relationship with Turalyon away, and when he points out that he, being a prematurely old man, will never be accepted romantically by a woman his (actual) age.