Mark being put through the ringer throughout the series as he deals with the disadvantages and dangers of being a superhero, especially as he started out as comic-book geek who wanted to be a hero just like his father. This includes the guilt when he is unable to save people, tragedies that spring from his actions to make things better, and the emotional tolls the various adventures he's forced onto.
His Love Interest Atom Eve has similar problems most especially when it comes to relationships, starting the series dating Jerkass Rex Splode only for it to end when he cheats on her friend and teammate with Dupli-Kate. Her relationship with Mark is one of mutual love and respect that is plagued by problems namely when he goes missing for long periods of time and believes him dead repeatedly. This includes him being throw five years into the future, where she was left to raise their daughter on their own and even briefly tried to move on with a relationship.
Bulletproof's tragic fall from grace over the course of the series. At the start, he's a flawed but okay dude just trying to do the right thing. Then you learn his backstory, being the son of Abusive Parents who hated him but loved his twin brother, who was secretly a supervillain that died in the experiment that gave Zandale his powers. When he tells them truth, they instead assume he's lying and that he murdered his brother, leading to a fight where he accidentally kills them. From there things just get worse and worse, with Zandale suffering trauma after trauma, humiliation after humiliation, compromise after compromise. By the end, he's a scarred (figuratively and literally) hollow shell of his former self, having become nothing more then Robot's slave who loyally carries out the tyrant's will because he has nothing else left.
The murder and funerals of the original Guardians of the Globe at the start of the series. Especially when you find out why they were killed…
Mark learns that his dad is an alien despot. He tries to fight his father, only to get beaten black and blue by his much stronger dad. While beating down his own son Omni-Man asks why he wants to save the Earth so badly when he'll end up outliving everyone he knows and asks what Mark would have left after 500 years. Mark, his body a mass of blood and bruises, responds:
Invincible: You, dad. I'd still have you.
Debbie's reaction to learning Nolan's true colors. She spirals into a deep depression, begins drinking, and at one point blames Mark for Nolan leaving.
Debbie: Why did you have to fight him, Mark? Why did you have to drive him away?
The story of Powerplex. His sister was killed in the collateral damage of Mark's fight with Omni-Man and in his grief, he tries to get superpowers to take revenge on Invincible. He succeeds… and then accidentally kills his wife and son with his unstable powers. From there his mental state just degrades even further until he finally gets his fight with Invincible and ends up breaking down into tears out of guilt over all the death and destruction his lust for revenge caused.
Rex Splode's Heroic Sacrifice and subsequent funeral. For all his flaws, he was a true superhero in the end. Made NO easier by the conversation Atom Eve and Invincible have later. This, by the way, is AFTER Invincible has gone through a SERIOUSLY dark time in his life, including having evil doubles from all sorts of alternate universes slaughter thousands all over the world and fighting the absolutely insane Viltrumite named Conquest, a fight during which he WATCHED ATOM EVE GET KILLED. It's one of the best played "dark ages" in superhero stories, and it is done in just a few issues.
Dinosaurus tries to go straight like Mark wanted, but in the end, he just can't get rid of his supervillain mindset and betrays Mark to try yet another "Necessary Evil" scheme that ends up killing millions of innocent people. When called out, he realizes just how many lines he's crossed that he can't take back and worse, that he'll just keep doing it, so he asks Mark to Mercy Kill him. Mark, very reluctantly, complies.
In the Distant Finale, it's revealed this all leads to Angstrom's son growing up into a supervillain himself and gunning for Invincible, mistakenly believing that Mark is the one who killed Angstrom. What should've been a happy reconciliation between the Graysons and Levys instead becomes a bitter blood feud.
Mark and Eve's argument before he travels to an Alternate Universe to find Angstrom Levy, and him finally losing his cool and yelling at Eve.
After he comes back, he finds six months have passed and Eve is heavily pregnant. Worse is the reason that he was gone for so long is because Robot/Rudy/Rex deliberately left him there after killing Angstrom and lying that it was Mark. He finds that she's no longer wearing her engagement ring and makes it clear that they're not together anymore. This makes what happens to him next worse which is...
Mark's rape by Anissa:
Anissa, a Viltrumite now living on Earth, refuses to copulate with humans and becomes a Stalker with a Crush who insists on taking Invincible as a sexual partner despite his protests. When she finally has enough of this, she simply chases him through the sky and uses her superior age, strength, and speed to pin him to the ground and forces herself on him. Mark is left naked on the ground traumatized as Anissa flies off afterwards making it clear she intends to be back when she's in the mood. Mark is left scarred by these events unable to tell his father for fear of him killing Anissa in anger and is unable to be intimate with Eve for a while after they get back together.
There's a happy one in the subversion of Double Standard Rape: Female on Male when Mark finally tells Eve what happens and his fears that he "let" it happen, While initially being angry with him, Eve is able to quickly come around to it after a few hours and tells him that Mark has nothing to blame himself for what was done to him.
Robot's betrayal and conquering of the planet, murdering or imprisoning countless heroes for no reason but to cement his control.
As he dies, Shapesmith cries Manly Tears and says that he thought he and Robot were friends. Robot's response? "We were". Then coldly finishing him off.
The whole Reboot? story arc, in which Mark is transported to the past and forced to relive the earliest days of his superhero career, and while things ultimately turn out a lot better than they did last time thanks to his knowledge of future events, the tradeoff is that his relationship with Eve and the daughter they had together no longer exist, a fact that he can't help but cry over every single night. Then when the entity responsible for his predicament appears and offers him the chance to stay in this new and "better" timeline permanently, he refuses and demands to be taken back home so he can be with his family again, knowingly sacrificing the countless lives his actions helped save this time around and dooming them to certain death. And when he finally gets back to the present, he discovers that five years have gone by in his absence, five years of Terra growing up without her father. What a gut-punch!
Mark's breakdown as he turns around to find his now five-year old daughter standing behind him asking if he's her daddy. He collapses to the ground telling her how sorry he is, wanting to be there everyday of her life. Terra responds by giving him a hug and telling him that she stills loves him.
The subsequent aftermath has Mark spending the day with his family, dropping her off at school and spending time with Eve. However, there are a number of panels where he is shown on the verge or straight up crying as he deals with the fact his family built a life while he was gone and will never get those first moments with them again. The worst is how this was legitimately not his fault and due to the aliens who sent him into the past to try and change the timeline spitefully sending him into the future when Invincible chooses his family over saving the thousands of strangers with his foreknowledge.
When they decide to go a remote planet for some R&R, Mark tries to kiss Eve when for her to pull back; not out of a lack of attraction but partially because of guilt. After four years, Eve was finally convinced to start dating again and was even in a relationship for a short while that ended recently. Meaning when Mark returned and she was found on the balcony looking forloned, she was likely mourning the end of the relationship rather than missing Mark. Then he actually meets the guy and it turns out the relationship ended was because of the way his species views children, gave her the choice between Terra and being with him instead of even still being in love with Mark. This turns into a happy one as their bond proves strong enough that Mark doesn't hold it against her at any point.
Ursaal hearing straight from the horse's mouth that Thragg doesn't care about her or any of his children; it utterly breaks her heart.
Anissa sacrificing herself to protect Eve and Nolan, and her last words are a sincere apology for what she did to Mark.
Nolan dying for real, and him telling Mark to lead the Viltrumites. Nolan's death is sad for what it is, but is for Mark: not only has he lost his father, but also the chance to live a quiet life with his family.
The Viltrumites can't stay on Earth...which means Mark has to leave. Even if, well...he made things BETTER.
One sequence in the last issue has Mark and his new benevolent Viltrum Empire going to save a planet they got a distress call about an environmental collapse from. They arrive to find a barren, scorched world; the message was actually from 100 years ago and hadn't been picked up until now thanks to Time Dilation. Even after becoming more powerful than ever, Mark still can't save everyone.
Robot's final fate. He completely deserves it after everything he's done, but it's still heartbreaking to watch this guy that used to be a beloved hero and friend reduced to a pathetic Brain in a Jar and used like a glorified computer, having burned every bridge imaginable so throughly that nobody even cares. The last we see of him is him asking Amanda if she can just talk with him for a moment because he's so lonely now… and she just bluntly says no, leaving Robot to continue stewing in his failures alone. Forever.