Quite a few...
- Without a doubt, the season 2 finale, "The Key". has the Lyoko Warriors faced with their worst fears being realized: all the warriors got devirtualized trying to get Aelita's memory back (Ulrich, the last one, got it arguably worse, being crushed by a trap) and are Forced to Watch while the Schyphozoa steals the Keys to Lyoko from Aelita's mind, which frees X.A.N.A. from the supercomputer, shuts down Lyoko, and KILLS AELITA. (Thank God she gets better thanks to her father, but still...)
Jeremie: "Aelita's... dead..."
- Jeremie's delivery just says it all, he's practically crying his eyes out.
Yumi: (completely afraid) "What's...going on?"
- This is followed by sweeping shots of Lyoko turning dark and every tower being activated as X.A.N.A. escapes to the internet, and a huge specter escapes from the factory, creating a swirling vortex of lightning and pure evil in the sky.
- One of the main ones is at the end of the penultimate episode where Franz Hopper sacrifices himself so that Jérémie will have enough power to run his multi-agent program to destroy X.A.N.A.
- Also, when William finally gets de-virtualised, you can pretty much expect the other Lyoko Warriors to tell him off about how underestimating XANA got him Brainwashed and Crazy. Think again — turns out he doesn't remember anything following his first trip to Lyoko on that fateful day, and as a result, the first words he says when he emerges from the scanners come out of NOWHERE: "I did a pretty good job, didn't I?". Those words have rarely been so gut-wrenching... And when he can't understand why the group seems to give him the cold shoulder the next episode, you can't help but feel sorry for him, really.
- Ulrich's Parting Words Regret in "Killer Music". He's clearly devastated (not that the others are any better) and the audience is well-aware of how close he came to losing his best friend forever as the Return To The Past triggered just as Odd was flatlining.
- Ulrich's entire relationship with his dad is quite depressing, especially in the second appearance of his parents: His father berates his choice in friends and his mother doesn't even call her husband out on it.
- In one episode, Ulrich reveals that they haven't spoken in a year.
- Yumi's parents fight. It lessens as the seasons wear on, but in "Laughing Fit", it's nothing to sneeze at. Her mother's devastated and when she tries to explain it to her daughter, she can't make any sense. Her father stays at a friend from work's place, and when she goes to see her father (under Ulrich's gentle at-a-distance guidance), his friend asks if she knows the reason why the two aren't talking. She merely shakes her head.
- Towards the end of Season 1, Jim has finally decided he's going to find out that the gang is up to. He tries to corner Jeremie, who rightly bolts. Jim chases him down the hall and Jeremie's so distracted by running from Jim that he steps wrong on the stairs and takes a Staircase Tumble. After landing at the bottom, amid horrified murmuring among the other students witnessing it all, Jeremie tries to get to his feet and collapses with a pained cry, having injured his ankle so badly he can't stand, let alone move. Jim is clearly horrified.
- The episode "Saint Valentine's Day" has XANA brainwashing Aelita through a necklace, with the intent of bringing her to the Scyphozoa. Along the way she takes Yumi out and traps Ulrich behind a wall of ice, leaving Odd as the only one available to save her...except he can't hurt it. He asks Jeremie for ideas, and he reluctantly suggest shooting Aelita. The way Jeremie's voice cracks and the look on Odd's face as he, with no other options, does so, is pretty damn depressing. It turns out okay, but that still must have been a very hard thing for them to watch.
- "False Start": Aelita at last gets a chance to live in the real world... and then it's taken from her. The ending is depressing, yet bittersweet. Despite doing a "return to the past", Aelita tells Jeremie that she must still stay in Lyoko. Since with the virus still inside of her, they can't destroy XANA without destroying her. Even when Yumi suggest that Aelita could still visit the real world for a while, Jeremie is still devastated at the fact Aelita can't have her happiness by not being trapped in Lyoko. He even starts crying!
- In "Echoes," the gang is finally able to shut down the Supercomputer but save for Yumi, they're all reluctant. While Ulrich and Odd are mostly going to miss the fighting and Aelita's reason has to do with her having lost her father, Jeremie's reason will definitely tug at your heartstrings: prior to turning on the Supercomputer and discovering Lyoko, he had no friends and was completely alone. He outright states to Yumi that he can't go back to being alone.
- Most of Aelita's backstory: During her early childhood, she saw her mother kidnapped before her very eyes. As an adolescent, she was virtualized onto Lyoko by her father in a last ditch attempt to save her from The Government. Fast forward 10 years when Jérémie finds her. She has no idea who she is or why she's on Lyoko. Jérémie finally manages to materialize her. But she starts suffering PTSD-like flashbacks from her fragmented memory while struggling to adapt to life in the real world.
- When Yumi gets pinned under a tree in "Cold War", it quickly becomes clear that unless she gets help or Jeremie activates the Return to the Past, she's going to freeze to death and Ulrich is going to have to watch. He tries to call Jeremie to get something, anything...but his phone is too cold to function. He curls into a ball next to Yumi and whispers "I need you..."; to make matters worse, he sheds a Single Tear which then freezes.