Hell, Aang's back story in general. He's the Avatar. The monks tell him before he's sixteen, unlike the traditional customs, because of war. He makes friends with Monk Gyatso, and then Aang runs away. He gets frozen and wakes up a hundred years later, with no idea what happened to his culture until he actually sees his best friend, dead, a skeleton. Then he flips his shit.
Before his HeelFace Turn Zuko's desperate attempts to gain the approval of his father and restore his honor in his eyes becomes ever more tragic considering the huge emphasis most Asian cultures place on filial piety. According to Confucious, "In serving his parents, a filial son reveres them in daily life; he makes them happy while he nourishes them; he takes anxious care of them in sickness; he shows great sorrow over their death; and he sacrifices to them with solemnity." Zuko sincerely believed that it was entirely his fault for being banished because he tried to defy his father by opposing the general's decision to use Fire Nation soldiers as sacrifices in the war against the Earth Kingdom. And considering how devotion to one's parents was often associated with one's devotion to the state, Zuko wasn't just defying his father, he was defying the Fire Nation itself. Is it any wonder why he had so many issues to deal with!?
The entirety of Zuko and Azula's relationships with their parents. Zuko's is very much implicit. He was barely tolerated by his father, and when he dared to speak out against him, he was forced into a life or death duel with him. Rather than kill his own son, he simply opted to mutilate his face, and send him off to exile on a Snipe Hunt. When the object of his hunt became apparent, Ozai immediately wrested the responsibility of capturing Aang, and gave it to another officer. Both Azula and Ozai spent the better part of the series playing on his insecurities and fears, and treating him as nothing more than a tool to be used and discarded. The more implied one is Azula, though. Ozai is a piece of work, no one will dispute that. He used Azula as much as he did Zuko. A major contributing factor with her Villainous Breakdown was her realization that her father, who she thought loved and treasured her, saw her as a tool just as he did Zuko. Just a stronger and more useful one. He foisted his new-useless title on her, and headed off on his world conquering rampage with little more than a pat on her head. However, while Zuko had Ursa and Iroh to help him build a foundation, Azula had no one. Her mocking comments of how her own mother saw her as a monster rang hollow at the height of her breaking point, and one has to wonder how much of her behavior could have been altered if Mom would have just given her a few more hugs. Azula felt as much of a sting of parental abandonment, and in its own way, that's almost sadder because she had no one there to pull her back. And the worst is the sucker punch to the audience. Much like a lot of other cases of emotional abuse, The audience didn't catch on to what happened to her until it was too late to do anything. By the time the full picture is painted to the audience; Azula's been mentally reduced to a mad dog and she's too far gone to communicate with; making the battle inevitable.
Making it even sadder is that, at several points, Azula and Zuko do actually appear to care for eachother, with most of Azula's Pet the Dog moments being directed at him and Zuko getting along relatively fine with her for the first half of Season 3. This makes it all that much sadder as the two are inevitably put in a collision course against eachother, making one wonder how different things could have been.
Azula(sarcastically and deranged): I'm sorry it has to end this way, brother.
Zuko (saddened): No you're not.
Judging by some brief flashbacks into Zuko's early youth, like in "The Storm" or even from Ozai's story in "The Promise", it seems that Ozai wasn't just a sick psychopath. It implies that Zuko actually had fun with him and that once they were a happy family, that Ozai was an alright father. Going along with the lesson Roku taught that "nobody is born evil" it makes it all the more sad that a family that could have grown to be so much more was torn apart so savagely and completely. It really is sad to see the family that was apparently so happy and content get savaged to the point that only two of them ended up doing the right thing. And as of now, of the two good ones, only one of them is confirmed to have survived.
The Zuko redemption story is completely heartbreaking, especially considering that Aang saves Zuko's life multiple times, he constantly forgives him for his past misdeeds and treats him like a friend, yet it takes three seasons for Zuko to accept that hunting him down simply for being the Avatar is the wrong thing to do.
Zuko's unfailing loyalty to his family despite everything they've done to him. It took him so long to break, and frankly, the Gaang is lucky that he ever switched. But at least they don't have to worry about him betraying them.
Peace Excerpt all the way. Listening to it makes you feel like a huge weight has been lifted off of your shoulders. No more fighting, no one's chasing the Gaang anymore. They can finally rest now.
The Fire Nation now and compared to what it was before (mostly thanks to Fire Lords Sozin and Azulon, Ozai just sealed the deal). As described by Aang who actually still remembers, the Fire Nation were a warm and friendly people with a rich culture, deserving as much respect as any other nation. And now, they are militaristic, forced to obey their nutjob Fire Lord and his lackeys into attempting world domination or face punishment, and have actively banned and persecuted their own cultural heritage by banning traditional music and dances and hunting down the dragons, the original Firebenders.