The nail which changed everything: after accidentally eavesdropping on Ned and Benjen talking about his true parentage, the fourteen-year-old Jon is so upset he decides to run away from Winterfell, only leaving a small note that doesn't explain anything. Ned almost went mad from grief, spending six months overturning the countryside, while the other Stark children had nightmares about their half-brother lying dead in a dirt hole. They don't receive any assurance about Jon's survival and health until several years later.
What happened to Jon immediately after is no picnic either — he was mysteriously taken to a whole different continent, with only his wolf and the clothes on his back, unable to speak the local language and almost executed on the spot merely for being in the wrong place. Oh, and Word of God mentions he was so desperate for cash he joined the Thieves' Guild.
Everything about the butcher incident. An eight-year-old Jon innocently trusts a kind-looking man when he finds himself lost in town, only for said man to attempt to sexually assault him. Jon escaped with his innocence intact only because Theon intervened in the nick of time.
However, what traumatized Jon the most wasn't the butcher, it was Ned's reaction: instead of explaining what happened and how to avoid this kind of predator, the boy's own father only told him it was a misunderstanding, blatantly lying and leaving Jon vulnerable.
Thirteen-year-old Theon being forced to intervene to rescue Jon and having to explain the boy paedophilia is both Nightmare FuelandTear Jerker.
All of Ned's efforts to keep Jon safe are suddenly ruined when Robert takes a fancy for the boy and invites him to King's Landing, the very place in which his nephew's paternal family was slaughtered for their family name.
The bandit attack on the royal procession. Arya is almost killed in front of Jon, and is badly shaken afterwards on realising she just stabbed someone.
In-Universe, Joffrey as King of the Seven Kingdoms is this to Jon Arryn and Jaime Lannister — Jaime actually prepares himself to commit kinslaying, that's how freaked he is after learning the boy murdered two maids on a whim.
Miraak's psychic remnant taunting Jon with his grandfather Aerys' craziness, claiming the youth is doomed to sink into dementia as well.
Jon having a psychic nightmare in which he helplessly watches how Gregor Clegane and Amory Lorch slaughtered his stepmother and half-siblings.
Imagine you're dining with your friends and family, busy listening your future daughter-in-law detail her wedding plans, when your father figure suddenly vomits blood and faints. Poor, poor Ned...
The aftermath of Euron's pirates ravaging the Northern coast. And if his captured follower is to be believed, the guy killed his own brother and is currently doing something awful to his niece for being a potential obstacle to his plans. Theon's reaction to all of this is sheer dread.
Jon nonchalantly burns several guards alive when they come after him. Sam's reaction is to violently puke.
The aftermath of Lannister guards trying to arrest the Volkihar women are extremely gory and bloody.
Selyse Baratheon takes a sword to the gut in front of Shireen. Grimly aware she won't walk away from this, she urges her daughter to flee without her.
Little innocent, gentle Tommen tries to defend Serana and Sansa from Joffrey's threats and gets killed for it. His loving sister Myrcella is immediately driven into a murderous frenzy that leads her to slaughter Joffrey, then has to immediately flee, not even able to mourn over Tommen's body.
Enzo arriving too late to protect two of Robert's bastards and their mothers, finding their corpses instead, and if he had been less quick, a third would have been killed too.
Arya almost finds herself abducted by Lannister cronies, managing to escape after realising "Jon's" message was weird only to be chased in the streets.
Margaery is spending a sweet morning with her brother and potential husband when someone knocks at the door. It immediately goes to hell with Renly beaten into a coma and Margaery herself losing her eye — no wonder her parents freak out.
Cersei's paranoia went so out of control she decided it would be a terrific idea to kill her own father with a letter opener, and tries to murder Tyrion right after that.
And she's now taking control of the Iron Throne. May the Gods bless Westeros...