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These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
In-universe, Desideria!Miyuki and Tsukasa have a discussion about this when Tsukasa feels that Kagami and Homura's Not What It Looks Like will drift her and her sister apart.
The Woobie: It would actually be easier to list who isn't a Woobie in this story, but here goes:
Homura, whose problems didn't end with the anime's conclusion. She fell in love with her world's Kagami, only to have Kagami lose herself to despair and transform into a massive Demon that destroyed her world and killed billions of people, including all but four of the Puellae Magi... and since she wasn't able to kill the Demon when she had the chance, she views everything that's happened since as her fault. Now she and Kyubey are all alone in a strange world, and she's the only Puella Magi against an organized group of intelligent uber-Demons. As if that weren't enough, she finds herself falling for Kagami again despite herself, and hating herself for it. That's all in addition to being tortured physically, mentally, and sexually by an incredibly cruel and sadistic Demon that has nasty a habit of showing up looking like her old self (i.e., Moemura)... or even worse, like Kagami...
Kagami, whose ordinary life gets completely shattered by Homura's arrival. She finds out that she and her sister are critical to the survival of the entire multiverse, and that another version of herself went mad with grief, turned into a Demon, and destroyed the Earth. There are now nine uber-Demons out to make it happen again on a multiversal scale, and they aim to do so by ruining Kagami's life. The hits keep on coming: her friends and family are drawn into the fight between Homura and the Nine, despite her efforts to keep them out of it. Kyubey catches her having some "alone time" in the bathtub. She gets the shock of her life when she walks in on her sister and Miyuki in coitus, when she didn't even know they were dating. Konata gets kidnapped and forcibly transformed into a Demon's Spawn. She gets Swallowed Whole by the Third, and has to slice herself out of its maggot-infested stomach. And above all that, she's found herself in love with Homura, with all the massive emotional baggage that entails. Somebody give this girl a hug!
Tsukasa, who for most of the story is actually happy... except that happiness is a great big lie. She's in her first real romantic relationship, with one of her best friends, no less, but she's currently got no idea that her beloved Miyuki is really the sadistic, shapeshifting Demon mentioned above. Said Demon has seduced her and manipulated her into sex and doing other things she never would otherwise, such as sneaking out in the middle of the night for a tryst at a love hotel. The whole relationship is a sham, all so the Demon can use her emotions as an easy source of food. When the truth eventually comes out, the fallout is going to be intense.
Konata, who realizes too late that she wants to be more than friends with Kagami, and is relegated to Romantic Runner-Up status. She has to stand by and watch as her Kagamin falls for Homura, is aware of it long before either of them, and there's nothing she can do but try to be supportive. Then, of course, there's the matter of being kidnapped, brainwashed, and transformed into a minion of one of the Demons, forced to fight Kagami and very nearly kill herself by its influence. Shortly afterward, she gains the knowledge that MagicalGirls are actually real, but not only can she not be one of them, their very existence means pain and suffering for herself and her friends. And as of Chapter 20, she watches helplessly as one of her coworkers at the Cosplay Cafehas her skin torn off and eaten by monster crows.
Miyuki, who gets attacked and imprisoned by a Demon without the slightest idea of what's going on, frozen inside her own glasses for weeks on end while the Second uses her form and memories to seduce Tsukasa.
Everyone in the Madokaverse. The world that Madoka gave everything to save? Little more than a year after her sacrifice, it's in ruins. The Puellae Magi are all dead, save for four. The Incubators are gone and no more contracts can be made, which means no more wishes. Every city and town has been destroyed. Somewhere around five billion people are dead, with the rest soon to follow due to Demons, climate changes, and damage to causality itself.
Kyoko and Mami in My Sunshine; Mami's memories are slowly and painfully eaten by a Demon until she is reduced to an infantile state, forcing Kyoko to Mercy Kill her. It left Kyoko a complete emotional wreck, who savagely lashes out at Oriko, Homura, and Yuma.