Chapter 4, aptly named "Despair", is when Alex learns what exactly happened to the world, including the fact two hundred years have passed. His devastation at realizing this means Dana is dead is just heartbreaking. Alex Mercer can't cry, but this is as close as he can come.
He could feel the snap coming on, and only dimly knew that he wanted it to be far away from anyone else, for her sake For her And he would never see her again, never get to make up for all the hell he'd put her through, never make her smile never listen to her voice never never do anything for her anymore because she was dead.
Alex thinking about Dana in general, when it's not heartwarming. He can't stop wondering whether she never gave up on looking for him, or if she moved on. Whether her life was safer without him in it, or if Blackwatch kept chasing her. Whether she got married, had kids, and got the newspaper column she always wanted. But worst of all, he can't stop wondering if she was still alive when the bombs fell. He got absolutely no closure, and he likely never will.
So many people have rejected, feared, and hated Alex that he can't even muster up the energy to be upset about it anymore. He expects people to treat him like a monster, he calls himself a monster, yet he doesn't want to be one and secretly longs for human connection. But it never happens. This line, when he's forced to share his past with Cain and Arcade, speaks volumes of his bitterness:
Alex: I suppose this is the part where you're going to run away screaming. Maybe fire some rounds at center mass? New and creative ways to imply I'm a crime against nature with no right to exist?
The reason Alex doesn't want to reveal his true nature to Arcade and Cain? It's not because he's afraid they'll scream or turn on him, he expects that; it's because he's afraid he'll have to kill them to keep them quiet.
When the truth is forced out at the worst time, he's clearly miserable by the way they're shrinking away from him.
Alex talking about the people he's consumed. He's tried to be good, tried to restrict himself only to criminals and enemies, but in his earliest days he just slaughtered indiscriminately. And no matter how much he regrets it, no matter what he does, he'll never forget them, because he literally can't.
Alex: The people I kill, they're in me. I know the things they know, I can see the things they've done. I know what they felt, what they wanted. I can hear their dying screams. (quietly) I always hear their screams.
Chapter 31. Alex has just gone off and killed an entire Legion camp, which puts him in a very good mood. He goes to his rendezvous with Cain, and finds nothing except her torn and abandoned bags. Cue a self-loathing, depressing Freak Out.
Fuck. Fuck. This always happened. Why did this always happen? Why did he always let this happen? He choked on a strangled noise, something halfway between a snarl and a sob. Damn it. Damn it. Damn it! He hadn't been there. Again. He hadn't been there when she needed it and now she was gone. Deadly spines rippled up his arms, butcher-knife claws flexing and unflexing with directionless rage. He wanted to scream. He wanted to kill someone. He wanted to plunge his claws into the floor and bring this entire fucking place down with a torrent of groundspikes, wanted to feel the metal buckle and warp and shriek around him. How could it be that no matter how strong he made himself, he could never protect anyone in the end?
The fact Cain does not expect anyone to come for her in the Sierra Madre. Sure, it makes the moment she realizes Alex did very sweet, but it also has horrible implications for the kind of life she's lead.
Dog's introduction. It's exactly as sad and pitiable as in the game, between him looking around lost for "Master", wondering what he did wrong, and his sheer panic at the thought of "the Voice" coming back again. Cain can't bring herself to use God's recording on him and tries to reassure him like he's a lost child.
Cain can't catch a break, even in her sleep. After picking up everyone at the Sierra Madre, she has a nightmare about her childhood. The details are vague, but the gist involves her being dragged away from her mother as a child. When she wakes up, she's so distraught and panicked that she almost shoots Alex when he walks in to check on her, and spends the following conversation afraid, defensively poised, and trying not to show any hint that she's upset because she thinks it's weak.
Alex's reaction to Cain falling in congested Cloud. He starts off with his usual swearing, moves to trying keep her awake and talking, then tries to convince them both he can fix this, and ends by begging her to stay with him.