While Connor eventually forms friendships with other immortals like Ramirez and Kastigir, there's a certain bittersweet feeling to their interactions. There's a chance as the number of immortals whittle down and the Gathering approaches, they one day might have to fight to claim the Prize. After all, there can be only one.
There's an oddly melancholy air to the original movie where only four immortals remain, the others having long since killed eachother. Even Connor winning the Prize doesnt really lessen it much.
The montage in the film of Connor and his wife living happily together, and then watching her grow old and eventually die in his arms while he never ages. It doesn't help that the scene is set to Queen's "Who Wants to Live Forever".
The dialogue exchange between the two as well:
Heather: Will you do something for me, Connor?
Connor: What, blossom?
Heather: In the years to come, will you light a candle and remember me on my birthday?
Connor: Aye, love. I will.
Heather: I wanted to have your children.
Connor: They would have been strong, and fine.
Heather: Don't see me, Connor... let me die in peace...where are we?
Connor: We're in the Highlands. Where else? Darting down the mountainside, the sun is shining. It's not cold. You've got your sheepskins on, and the boots I made for you. ...Goodnight, my bonny Heather.
Then it comes back near the end, when Connor goes to church on her birthday, and lights candles for her and Ramirez. And just a few minutes later, he finds out what really happened the night the Kurgan killed Ramirez...
The scene that leads to it is a highlight as well. Connor returns home while calling for Heather. One could assume she left him due to his immortality...Then she responds in kind, revealing herself as an old woman whose still happy to see her still young husband. That's enough to make one weep in joy.
After the events of Endgame, Duncan brings Connor's body back to Scotland and buries him next to Heather.
Pretty much all the main character deaths of the series.
Tessa, killed at the very beginning of Season Two in a completely senseless death by a mugger, just after she and Duncan had decided to get engaged.
All the more so, since Duncan proposed to her immediately after remembering a gypsy telling him that he would love many women, but never marry. In an attempt to Screw Destiny, Duncan may have actually cosmically caused Tessa's death.
Darius, the kindly immortal priest who was Duncan's moral compass for centuries and could reach him even when Tessa and Richie couldnt, was murdered in his own church after centuries of forswearing The Game and doing no harm to anyone. His death affects Duncan as much as anyone else's in the series. "Who Wants to Live Forever" plays at the end of the episode just to make sure the tears flow.
Richie is killed at the end of Season Five by Duncan himself after the demon Ahriman tricks them both with illusions into fighting a duel against each other.
The worst part of this is the immediate aftermath. After Duncan kills Richie, he endures the quickening but at this point both he and the audience are still unsure whether he killed Richie or demon!Richie. He calls out Richie's name uncertainly. Richie steps out from behind a pillar nearby... and then smiles wickedly.
The scene is made even more painful by Joe breaking down in tears at the sight and Duncan demanding Methos (who turns away in disgust) take his head.
The It's a Wonderful Plot shown in the series finale presents cases for the majority of the supporting cast when they didn't have Duncan there to influence them. Horton ends up taking control of the Watchers and ruins their sense of morality, leaving Joe without any hope for humanity, Methos loses one of his great loves and ends up rejoining Kronos to wreak havoc on society, and Amanda ends up degenerating into a more deadly life of thievery, eventually killing off a rich spouse of hers before getting gunned down and decapitated by a group of Watchers. Even characters that died during the run show, like Tessa and Richie, are shown to have lived unfulfilling lives, with the latter eventually suffering just as unfortunate a death as in the main timeline.
The continuation of Methos and Alexas story in An Evening At Joes. It depicts their world travels and her eventual death from her illness. Methos becomes frustrated and angry and eventually pushes the life support stuff away because most isnt helping anymore and holds her as she dies.