The scene where Marge goes after Grimsrud, a very big and utterly unscrupulous felon, alone and seven months pregnant. She pulls it off masterfully, but has close calls with the terrain under her feet and the log he throws at her, narrowly missing. She manages to wound him in the leg with her pea-shooter-type revolver, and apprehends him off-screen, presumably before backup arrives. Now just recapitulate all that could have gone wrong but didn't, and Marge seems to be one lucky officer.
Grimsrud in general. Stoic, pancake-craving giant to Ax-Crazy in zero point two five seconds. The biggest one is when he pursues the couple who saw Carl trying to move the body of the state trooper.
The last scene with Jerry. The sheer emotion and desperation is just simply excruciating (also could count as Tear Jerker).