Jules Whilhite may only have been in the pilot but it's clear how much she meant to the team when she's killed in the line of duty. Erin having to come in person to tell her husband of her death is the first heartbreaking scene of the series.
In "All Cylinders Firing", Platt's assaulted and her gun stolen to be used to murder her father. When the leads come together and a slip from Burgess gets out to Platt, she ends up breaking out of the hospital and hunting the suspect down, torturing and preparing to execute him for what he did. It's one of the few times in the series Platt slips from the responsible position everyone respects into What You Are in the Dark, enough so that she even thinks Voight would completely understand her perspective. The words that send her into a breakdown and crying after keeping it pent up was Voight pointing out that she's not him, that killing the guy wouldn't make her feel any better.
In Season 4, episode 8 "A Shot Heard Around The World", the perp of the episode who targeted and executed two police officers is mentally ill and turns out to be the son of a fellow cop Voight and Olinsky knew. The looks of anguish on their faces being forced to go after the son of their fallen comrade, Voight's face when trying to talk the man down knowing he's sick attempting to get through to him by relating that his father was also a cop who was KILOD and when they're forced to take the shot.
The ending of the episode where various characters pay their respects to the fallen cops at the Chicago Police Memorial.
The deaths of Sheldon, Nadia, Justin, and Robert. They were all decent or upstanding characters given various of amounts character development and personality, enough to show that they aren't flat or one-offs, and end up tragically killed off for the sake of driving a good plot.
Lexi Olinsky's death in the episode "Emotional Proximity". The doctors try to save her, even restarting her heart, but she is suffering from multi organ failure. They tell Olinsky there is nothing more they can do. He and Meredith are right by her bedside as she flatlines.
This is followed by Detective Lindsay moving Lexi's picture from the "Victims" board to the "Deceased" board.
The opening of "Homecoming" as Voight learns Olinsky has died of his wounds being stabbed in prison. The usually solid commander nearly comes apart mourning his friend.
Voight heads to the waiting room where the rest of the squad is gathered. All he can do is shake his head as they react. Burgess and Trudy both collapse into tears as Halstead has to storm out, unable to handle it all. Made worse by how the camera slowly pans away from the room and their grief.
Voight's drunken grief on the rooftop at the end of the episode, and his scream as the episode ends.
Just to add one more bit of agony, in the following sixth season premiere "New Normal," just as Voight is getting ready for Al's funeral, Trudy has to break it to him that Al's widow doesn't want Hank anywhere near it. Hank is forced to watch across the street rather than bid farewell to his friend personally.
Atwater attempting to reach out to Jordan in "43rd and Normal" and only getting pushed frther and further away in response. It ends with him literally being left out in the cold.
Halsted dealing with his father dying in a crossover special. He and his brother briefly come to blows over their dad being rendered brain dead with Halstead throwing himself into a human trafficking case rather than deal with his grief. At the end of the episode, he comes to his father's apartment and finds scores of photos of himself from his police graduation to being honored and realized that, rather than resenting him, his father was proud of Halstead. He breaks down sobbing at the lost year of talk the two could have had.
For Burzek shippers there's Burgess either repeatedly giving Ruzek the cold shoulder or telling him off every time they attempt to discuss what to do about her surprise preganancy. Ruzek lived through a vicious divorce with his own parents and loves Burgess to death on top of that, so for him to keep trying to do right by her and her to just shut him down at every turn has got to be weighing heavy on him.
Comes to a head in "43rd and Main" when she finally has enough of him mother-henning her and chews him out over it, basically telling him to his face that they're not a couple and what she does with her child is her decision alone to make, never mind he's the father. The look on Ruzek's face after she's through ripping into him is absolutely heartbreaking.
Burgess miscarries the baby as a result of being assaulted in I Was Here. The sequence in which it happens is heartbreaking—she shows up in time to stop a human trafficking victim from being drowned by her pimp and in the struggle that follows, he punches her repeatedly in the belly, causing her to cry out in pain and fear as she knows what could happen as a result. When Ruzek finds her, she's an absolute sobbing mess, and he gently cradles her and carries her off. Later, at Med, we hear that she did lose the baby and as a heartbroken Ruzek attempts to comfort her despite his own grief, she just sits there, unresponsive and in shock, with a stony expression on her face.
Skip forward a couple of episodes to "Burden of Truth" where Burgess has an emotionally charged confrontation with Ruzek about the loss. She openly blames herself for going in alone when she shouldn't have and for costing herself and Ruzek their first chance at becoming a family. And she wants Ruzek to be as angry at her as she is with herself, if not moreso. He can't.
Rojas being forced to turn in her ex-boyfriend, whom she also viewed as a brother to her, in connection with a drug-dealing case. He rebuffs her attempts to reconnect and part ways amicably, saying that they're in two different worlds now. Seeing her tear up over this is pretty sad.
The punishment Atwater gets put through for breaking the blue wall and him not knowing who to trust or even if his fellow Intelligence colleagues have his back 100%.
Mikayla, the girl from "Tender Age" and "In Your Care". First, she witnessed her immediate family's massacre, at the hands of her own father and his new girlfriend and is left traumatized by it. Burgess takes her under her wing after finding her wandering the streets alone. Once that case gets resolved, she's sent to live with her cousin, Cathy, only for Cathy to be found to have severe mental issues, to the point that she turns Mikayla over to DCFS for both of their own good.