After Chief Thurman gets killed, Molly brings his pregnant wife the paint cans that they were going to use to paint the baby's room.
The Rooster Prince
A Muddy Road
Eating the Blame
The Six Ungraspables
Stavros discovering the corpse of his son after all his work to protect him.
The death of Chumph surprisingly turns out to be this, given the large amounts of Nightmare Fuel applied to his situation. Namely, being framed by Malvo into sniping at people in the street and being helpless to proclaim his innocence to the cops shooting at him due to the gag in his mouth. The dissonant music and cinematography just accentuate the harshness of it.
The look on Gus's face when he finds Molly shot in the snow. It may be ambiguous whether it was his careless shot that did it, but that doesn't lessen the impact of the tragedy and his innocent incompetence.
Who Shaves the Barber?
Bill Oswalt's conversation with Lester, where he's struggling to grasp how the hell so many killings are happening in such a short period of time. Making things sadder is that Lester easily exploits this grief to put forward an explanation of his wife's murder that discredits one of the few people who might testify against him.
How Chazz and his family life spiral downward when the police discover phony evidence Lester planted in his gun cabinet.
The subdued conversation between the recovering Molly and Mr. Wrench. The first thing he does is inquire about his partner, only to learn that he had died. He maintains a stoic expression, but it's clear he's grieving.
And Molly's part in the conversation can't be discounted. She's clearly trying, much like Margie before her, to make sense of the horrors she's endured. This is the first time we see the usually confident, bright Molly truly shaken since Vern's death. She almost looks sadder when he turns away, because it seems like she really just needs someone other than her dad to talk to.
Molly: And I mean, what's the point?
A Fox, a Rabbit, and a Cabbage
Linda's death, especially that it's right after she woefully professes that she had been in love with Lester long before their marriage.
When Gus gets word that Malvo's back in Bemidji, he calls Molly begging her not to go with the other officers to find him, and that he doesn't want Greta to have to "see another funeral". Thankfully, they both make it through in the end.
Bill's final on screen conversation with Molly where tells her he doesn't understand all the evil and cruelty that seems to have come into the world and that he's started thinking "dark thoughts" and drinking more to cope with it, and that he's not cut out to be police chief and that Molly is and that his friend and predecessor Vern Thurman knew that all along. As much of a load as he's been throughout the series it's impossible not to feel sorry for the guy.
The deaths of Budge and Pepper in the finale. After their colossal screw up with the Fargo syndicate massacre, they finally get a chance to make up for it when they convince Bill to support Molly's investigation, only to get offed by Malvo.