In "The Wolves of Saint August". The panel in which the young girl transforms into a werewolf in front of Kate Corrigan... (shudders).
The death of Vasilisa The Beautiful by Koschei The Deathless. Not only the fact that she is just a little girl that packs the punch, but the Baba Yaga is forcing Koschei into killing Hellboy by offering his own death in exchange... Koschei dies no less than three times in pursuit of Hellboy, all the while he is begging the Baba Yaga to just let him die with some dignity.
The death of Hellboy, of course.
In the same story line, when Hellboy finds that Alice has died, charred by flames that wouldn't kill him, but would kill a normal person in no time. Turns out it was only an illusion, but damn!
The flashback to when a young Hellboy asks Professor Bruttenholm if he's a monster. When the flashback ends, we see the adult Hellboy saddened by the memory of the Professor encouraging him to follow in Lobster Johnson's footsteps as a hero.
Mike Mignola really has a thing against gorillas and chimps. They always get killed in very creative ways... and they always cry for help... sometimes with a human voice. (sob)
In Hellboy's sister publication B.P.R.D., the death of Roger The Homunculus.
"The Midnight Circus," where we have to endure the Adult Fear of seeing pre-badass paranormal investigator Hellboy as a child, alone, being scared out of his wits by a ghostly circus run by his uncle and half-sister and almost getting hanged by the ghosts of child murderers.
In The Devil You Know #6, Hellboy finds out that Thomas Manning, the director of the BPRD, and a long-time character whose first appearance was in the very first issue of Hellboy, is dying from some unmentioned disease. It becomes poignant when one recalls that when they parted ways almost 20 years before, Hellboy had chewed him out over the BPRD secretly implanting a bomb in Roger's generator. From his behavior it's evident that Hellboy has forgiven him for this, and their interaction makes it clear that even though he is his superior, he is also one of his oldest friends.
Professor Broom's death. He would have died anyway but still, Red wasn't ready yet. The worst may be that it was inevitable.
Poor Red isn't even allowed to officially attend the funeral as his existence was still being kept a secret and has to watch what he can from the shadows.
Earlier in the film, after Abe finishes showing Broom what happened at the museum, Broom stumbles and we get this exchange:
Abe: Professor? [grabs Broom to steady him, then gasps] Professor... You're very sick.
Broom: I don't want Hellboy to know.
When Rasputin sucks out Liz' soul while Hellboy is bound in an unbreakable shackle. He is in sheer anguish. Not being there to stop his father being killed is bad enough, but it's worse when you are there, but can't do anything to stop it.
Hellboy's conversation with Liz. He would change the way he looks, but he can't. But, it brings smiles when he says "#1: I'll always look this good."
The Golden Army
The forest god's death is very bittersweet, specifically the music that they played during the scene.
The death of Nuala. Abe doesn't even need to say how much he loves her.
Abe: I never got the chance to tell you how I felt. (their hands touch, sharing a psychic connection) Nuala: It's beautiful.
What makes it worse is Abe actually cries in this scene, and it isn't only the only time in the Del Toro franchise, but the ONLY TIME IN HIS LIFE.
Everyone reacting to Hellboy for the first time. They hate him! Even after he stopped the Forest God which nearly killed them, and no one cares. Even with Liz's effort to get them to realize he was trying to help.
How Hellboy feels about it.
Hellboy: I stopped that...thing, and for what? They don't like me. They're afraid of me.
Just imagine. One day he's a hero for saving kittens from a Hellhound, and the next a plant monster nearly kills everyone and no one cares about that, they just care more about Hellboy being red. It's unfortunate how much the world changed.
It doesn't get much better when Liz tells him she wants to go out. Hellboy tries to get her to stay, and she doesn't do so.
After Liz kissed Hellboy on the head. It kinda looked like he was going to start crying towards the end of the scene.