The cutscene of Ophelia throwing herself into the Sea of Black Tears.
The way the scene played out, it was essentially a suicide, with Ophelia throwing herself into the sea out of despair, only to be suddenly struck by the gravity of her decision, and her anguish giving way to pure terror. It is one of the bitterest moments in this game.
Drowned Ophelia's poem.
Through the woods a girl came sadly
Something broken in her chest
She had dared to love another
Alas no better than the rest
Up my path the girl came gladly
Something opened up my doors
I longed to stop her bleeding heart
And so I called her to my shores
Those you trust will hurt you badly
Something now I'm sure you see
So drown your tears in me, my dear
As you drown, my dear, in me
Eddie's dream about lying in the grass and sharing a tender moment with Ophelia, followed by a Funny Moment of them holding hands and frolicking together while slaughtering demons. And then it looks back around into Tear Jerker territory when Eddie holds up his dead mom's necklace... and wakes up, just in time for the final battle with Drowned Ophelia.
After defeating Doviculus, Eddie diving into the Sea of Black Tears to get the real Ophelia back, giving his mother's necklace he previously gave her back to her once he discovers her body, and swimming back up with her body only to be pulled down himself—that is, until the real Ophelia pulls him back up by his tags and they share the same kiss Eddie had in his dream. The fact that there were no words exchanged between them (or needed to be, for that matter) makes it all the more of a powerful Tear Jerker.
Lars' death is also quite sad too. Especially how Lita said that she'd never cry over anything, and then she starts crying when she sees that The Kill Master can't bring him back.
Doviculus seemingly killing Ophelia, then rubbing it into Eddie's face that none of this would have happened if he had simply listened to her back at Lionwhyte's palace.