Louise's death, especially when she tells Vic to make sure that her baby daughter is taken care of. The fact that the GTA wiki mentions she might also be raped only makes this worse.
The relationship between Vic and his brother, Lance. Most of the time, Lance is trying to help his brother, but only makes some situations worse. The fact that Vic treats his brother like crap only makes his death in the sequel even sadder. The conversation between the two brothers at the airport implies that Lance always got Vic in trouble.
Lance: Oh, come on, man! I come all this way to see you and you treat me like I've got herpes.
Vic: Maybe that's because your whole life, you've gotten us into trouble.