Credo's death. Him begging Dante to save his sister and Nero as he bleeds to death after being stabbed by Sanctus is the icing on that particular cupcake.
Nero's complete breakdown when Kyrie is kidnapped to the point he creates a crater just from punching the ground with his Devil Bringer and ends up in a huge Heroic Safe Mode that Dante has to snap him out of.
In an equally sort of Heartwarming way, Nero asking Kyrie at the end if she would still want to be with him if he's not human. Despite all his amazing accomplishments and the lives he saved, Nero is afraid only of losing her. But she wants to be, because no one is as human as he is.
The song "Shall Never Surrender", especially the more somber and spoken parts after the metal portion of the song.
Though Credo is reduced to a Forgotten Fallen Friend in the game itself, later expositions reveal he is dearly missed by Nero and Kyrie. Nero is particularly scarred by his loss enough to want to save Dante and Vergil in 5 and awaken his latent demonic heritage in the process. It really highlights how much he meant to Nero and serves as his heroic motivation.