The Tear Jerker namespace is Spoilers Off. All spoilers are unmarked. Read at your own risk.
The look on Nick's face when it's revealed that Danny is in on the conspiracy. Well, sort of. It's still heartbreaking.
Nick:[on the verge of tears]Danny, no!
There's even a moment where the viewer is led to believe that Danny has killed Nicholas.
And, subsequently, their confrontation over whether or not to prosecute the town. Danny's anguished denial over his father's innocence is heartbreaking. Danny makes it clearer that his concern is to keep Nick safe and tells him to go to London, where he can't get killed. But he'll stay, because Sandford is home.
Why Nick decides to go back: he sees some of Danny's favorite cop movies on display at a regular drugstore. If you go with the interpretation that he realized Danny was likely to be killed by his father — thus Nick can't get help from London because then the NWA will know that Danny didn't kill Nick and deliver their "justice"— then he decided to go and save his best friend. If you go with the Dare to Be Badass interpretation that he realizes he needs to prove to Danny that justice will prevail despite a hopeless situation, then it's equally heartbreaking.
Danny freaks out when Nick gets shot, shoots the priest in turn, and goes to check on him. Fortunately, Nick always wears his Kevlar vest but the gut reaction hurts.
When Danny gets shot, and then the police station blows up and Nicholas finds Danny, covered in blood, and starts crying, saying, "Everything's going to be fine."
Danny facing his dad in the pub on the subject of his mum.
Frank: Think of your mother! Danny:(in tears) Mum is dead, Dad! For the first time in my life, you know, I'm glad! If she could see what you've become, I think she'd probably... kill herself all over again!
Nick tells Danny not to use the term traffic "accident" and instead use traffic "collision". When Danny asks why, Nick says that "accident" implies that no one was at fault. Later Nicholas asks how Danny's mother died. He responds innocently that it was a traffic collision. While he could just be taking Nick too literally, that could imply that Danny believes that someone was at fault for her death. It's later confirmed that she intentionally crashed her car and killed herself.
It's a small moment and the character in question is usually a bit of a Jerkass, but seeing George Merchant broken up in the pub after the deaths of Martin Blower and Eve Draper. They might not have been the most likeable people, but they were clearly his close friends and Merchant seems to be getting drunk in an attempt to drown his sorrows.
Michael weeping as his mug shot is taken. Suddenly it hits home that this is a mentally disabled man who was ruthlessly exploited by the town council to do their dirty work. Of course, given the English penal system's generally sympathetic treatment of mentally disabled criminals, it's likely that Michael would end up in a hospital like Broadmoor for his crimes.
Throughout the film, Nicholas suffers from both Chronic Hero Syndrome and Married to the Job and it's effectively wrecked what little of a social life he had back in London. His relationship with ex-girlfriend Janine was ruined due to missed engagements and it later threatens his friendship with Danny. As he tells Danny at his flat, he has no idea how to relax and not be a cop for just a little while. According to the trivia track, this is Truth in Television; many of the real police officers Wright and Pegg interviewed for research also told how it was impossible to "switch off" from the job.