Zuko's disappearance, which started the whole plot. While we don't know how he vanished or why, it's clear that Ursa and Iroh both miss him dearly, with Ursa spending every winter solstice since he vanished mourning him, not knowing he's alive, and Iroh trying to bring him back home, even after he fights the Fire Nation numerous times and says he doesn't remember them.
Aang's memories about his Fire Nation friend Kuzon are straight-up bittersweet: not only Kuzon died and Aang Never Got to Say Goodbye, the airbender is reminded of him when he looks at Zuko because their mannerisms are quite similar.
Sokka, at the end of the 'Betrayed' Two-Parter, had to make the hard choice. He hates himself for it, even if he knows he had to, and his sister is angry at him. What did he decide? To leave Zuko behind in favor of getting Yue and an injured Aang to safety. Combine that with everything else that happened at the North Pole, and you can feel how difficult it was for him.
Iroh's possible death with Zuko on a small life boat unable to do anything.