Just like the last game, the death quotes in this one are much darker and sadder than is normal for the series. Especially the unique death quotes for We Cannot Go On Without You characters. Some of the later chapters even have the chapter's boss mourning the protagonist.
Once the Endgame chapters of Part 4 start, almost all playable characters who had Plot Armor (making it so that they will retreat from battle when defeated) in their playable appearances in the game will not have it when they fall in battle; they will actually die when their HP hits 0. Special mentions go to Soren, Titania, and Mist, three units who are have the closest relationships with the protagonist of both Path of Radiance and Radiant Dawn, Ike. In both games, all three of them will retreat when defeated in battle, allowing them to stay alive in the story. Should they fall in the endgame chapters of Part 4, they will actually die, and when they do, their final words are in regards to Ike:
Soren: Ike... Please live... Even if all the cities burn, and the seas swallow Tellius... You mustn't die... Not you... Titania: Ike... I'm so happy to have watched over you as you grew older... You don't need my help anymore... You're going...to do well... I can rest...peacefully... Mist: S-sorry...Brother... We...can't be...together... again... ...Father. M-Mother...
The entire Let's You and Him Fight sequence in the second half of Part 3. Yes, characters who knew each other in the last game get special conversations. Zihark's might be the worst by far, as from the last game we know how supportive he is of the Laguz, but he's now forced to fight for an army that's essentially conducting ethnic cleansing. His battle dialogue with beast tribe Laguz in 3-E is the most heart-wrenching.
Zihark: With this stroke, the last of my ideals is cut down…
If you have one of the characters associated with the Greil Mercenaries talk to him (Lethe, Mordecai, Brom, Ilyana), he'll actually change sides because of how disillusioned he is.
Ilyana: Sir Zihark. It's not too late. Let's not fight. Zihark: I can't do that... Daein has just freed itself. I can't betray it now. Ilyana:Even if you have been ordered by Daein to hunt down laguz? Zihark: I-I just... Ilyana: But this isn't you! When I met you, you were so nice, and you never doubted yourself or your friends. You even risked your own life to fight on behalf of the laguz. And now you're throwing it all away... Zihark: ...Ilyana. Ilyana: Yes? Zihark: Thank you. You've opened my eyes. Ilyana: Pardon? Zihark: I will leave the Daein army. My friends in Daein are dear to me, but I refuse to take part in any "hunt," or lie to myself any longer. Ilyana: Oh, Zihark, I'm so glad...
This unfortunately gives the player a Sadistic Choice in both a gameplay sense and a story sense: Zihark defecting from the Daein army to join the Laguz Alliance and Greil Mercenaries without a second thought is definitely something in-character that he would do, but this could make the Micaiah chapters more difficult for the player due to depriving them of one of their genuinely strong units. But at the same time, leaving him with the Daein army basically condemns him to becoming the antithesis of the ideals he lived by, via being unwillingly complicit in the killing of Laguz. It be a miracle that he would not need some serious therapy once the war ends after having gone through a lot of emotional turmoil after betraying his principles.
From Part 3, Endgame onward, the soundtrack used when the player is in the base changes from "The Task at Hand", a calm and relaxing theme, to "Comfort's Call", a somber and melancholic track, perfectly hammering home how the situation of the war has gone From Bad to Worse, what with the medallion's chaotic energy growing even more unstable and can potentially release the Dark God contained within.
The song can hurt quite a lot if you killed Pelleas a few chapters prior.
Ike watched Greil kill Elena when he took the medallion. Making it even worse when he also watched Greil die before his eyes as well.
Soren's past in FE9 and 10 has the works of Parental Abandonment, Abusive Parents, and being ostracized and attacked by complete strangers based only on how he was born. He also almost died of starvation before Ike found and fed him, and was then immediately separated from him — the only person who had ever shown him kindness — for several years due to Greil's killing spree happening later the same day. Later, he reunited with him, only to find that Ike didn't remember him at all because his memory was erased after he saw Greil kill Elena. During Soren and Ike's conversation in the last battle in RD, Soren just lets it all out and cries in Ike's arms.
In the Japanese script, there's Geoffrey and Elincia's discussion on the walls, and the following discussion that Elincia has with Ludveck, especially her last comment before she walks out and willingly leaves Lucia to her fate.
Elincia: Thank you for letting me see my own weaknesses. To have allowed your ambitions and your rebelliousness to carry out for this long...it was my weakness. To have Crimea, now, in such a broken state, these sins are all mine. I'll bear that sin forevermore, as I dedicate my life to Crimea. I am queen, after all. I will live... for Lucia...
When Soren is finally reunited with his mother. And he doesn't even recognize her, even though she recognizes him...
The death of Sephiran in the penultimate mission. You know your life really sucked when you are welcoming your own bloody death with open arms. When everything you've tried to do in life has failed miserably and you've had to sit helplessly for centuries while everything around you literally burns to the ground, death is merciful at that point. It gets even worse if you have Sanaki talk to him during the battle… Oh boy. The death quote says all.
Sephiran: At last… I'm dying.
The aftermath of Chapter 4-5, where you finally kill Izuka once and for all. The fact that so many Laguz died horribly at either the army's hands or each other, Reyson singing a dirge to put their souls to rest, Tibarn and Ranulf's overall moods is just depressing. It doesn't get any better when you're taken to none other than Bertram from the first game...who's actually Renning, Elincia's uncle who was thought to be dead! Luckily, Reyson is able to heal him and it becomes a Heartwarming Moment.
Rafiel's backstory. The poor thing got captured by a slave trader and was lucky enough to be bought by the benevolent Hetzel. Unfortunately, he got sick, and by the time he was well enough to leave, the Serenes Forest had been burned to the ground.
Being forced to kill Pelleas in your first playthrough. Almedha's reaction and Micaiah's guilt are heartwrenching, and the worst part is it didn't solve the problem. Thankfully, you can avoid this on your second playthrough and beyond.
Almedha takes it even worse in the Japanese version's extended script, where she completely loses it and tries to murder Micaiah in a desperate attempt to end the blood pact's curse, even though she probably knows that it won't work. It takes her brother Kurthnaga to talk her out of it. And it's even harsher when you find out Pelleas isn't really her son. She was so emotionally distraught that Izuka showed her a random orphan and she believed it had to be her son.
Almedha in general is one of the most tragic characters in the game when you think about it. She was taken from her homeland to marry a man who never loved her, only caring about how powerful a child with dragon blood would be. When their son was born and he had no special powers, followed by Almedha losing her dragon abilities, he disowned both of them. Almedha didn't see her son for 15 years. And that's before all the crap she has to endure in the game itself.
in this one are much darker and sadder than is normal for the series. Especially the unique death quotes