As Alan is being sucked into the game, if you listen carefully, you can hear him desperately scream "SARAH!! ROLL THE DICE!!!"
What follows is poor Sarah being chased by the bats she previously rolled. The sad part is when she later tells Alan how it traumatized she was to be chased down the streets by the bats, when she was little more than a girl.
Judy and Peter being recently orphaned by the loss of their parents is subtle, but still very much sad. The junior novel delves deeper into the details of what it must've been like.
"Since their parents' deaths, Judy and Peter couldn't have possibly felt more rotten. Mom and Dad were supposed to have been gone only a week. A skiing trip in the Canadian Rockies. They'd called it their second honeymoon. Judy's biggest worry was that Dad might break his leg on the slope. But a fatal car wreck? No kid was ever prepared to hear that."
Except for Judy (and later Alan and Sarah), Peter hasn't spoken to anyone since his parents died.
This exchange between Judy and Peter regarding that.
Peter: Do you miss Mom and Dad? Judy: No. Peter: Liar. If you dont cut that out, theyre gonna send you to a shrink. Judy: Where do you think theyre gonna send you if you dont start talking?
The part where Alan Parrish comes back out of the board game after being in an alternate jungle dimension for 26 years, and goes looking for his parents, only to discover they're dead and that his father, who he thought never loved him, gave up everything he had to try to find him.
Especially since he's really so childlike in that scene. "Where's my mom and dad?" (sob)
Not to mention that one of his first reactions after seeing Judy and Peter for the first time is to excitedly ask them if they're his younger brother and sister. Oh God...
Worse, when Alan returns to the abandoned shoe factory, he learns that his father died of sorrow, and everything essentially was Alan's fault.
And without Parrish Shoes in business as the town's main source of income, why the town has become a veritable ghost town by 1995. Not only did Alan's disappearance affect his family, their business and Sarah, but it basically destroyed the entire town.
Old Man: After a while, [Mr. Parrish] stopped coming to work. He just quit caring. I don't think anybody loved his boy more than Sam did.
Also on Alan's side, the careless accident where he left the sneaker on the conveyor belt in the factory, destroying his friend Carl's invention that would've unquestionably set him and the rest of the factory staff for life. Instead of taking responsibility for the mistake, he ducks out in a panic, leaving Carl to take the fall, all for Alan. For this, he is fired and forced to make a living many years later as a police officer long after the factory shutters, constantly lamenting how he lost the opportunity of a lifetime.
Alan: Hey Carl...I know it doesn't mean much after 26 years...But I want you to know I'm sorry.
This excerpt from the junior novel drives home how bitter (and unforgiving) Carl feels towards Alan:
"Bentley spun around to get a closer look. A closer look at the man who had grown from the boy who had stolen his life."
In the junior novel, we get this line from Alan upon seeing his parents' graves:
Alan: I wish this family didn't exist!
"My dad could barely hug me, let alone chop me into little pieces..." This paints a picture of how Alan grew up thinking his father didn't love him. It's especially heart-breaking given Alan's father gave up on his business and life once Alan went missing. He never got to give his son at least one hug...
Alan comes out with a really sad song that relays just how hard his life was: "In the jungle you must wait, until the dice read five or eight."
Although the sing-song tone he uses make it a little funny, it's also a look at how embittered he feels towards Sarah for not finishing the game and basically abandoning him to the game's jungle. He's had 26 years to roil in his grudge towards her.
All that Sarah went through after Alan was sucked into the game. She got blown off by everyone in the town when she tried to tell them about the situation and visited several therapists during that time period.
Sarah: I was a little girl, Alan. You disappeared, and a bunch of bats surrounded me and chased me down the street. I was afraid. I'm sorry, Alan. No one believed me. I was all alone.
Alan: So was I. For 26 years, Sarah.
Sarah: Me too.
Even the part after she wakes up from her faint and leaves a message for her therapist is this, for while it's slightly Played for Laughs, she still has tears in her eyes and her voice breaks a little as she tells the doctor she "needs her dosage checked", that she was sitting in the living room of the boy she saw vanish, drinking lemonade, and that she'd "really like to know what you make of all this." It's enough to make you want to give her a hug.
The junior novel only drives the point home of how sad it is for Alan to return basically a lost child, even after all his time in Jumanji:
"Alan Parrish stared back, his face lined with confusion. Judy figured him to be about Aunt Nora's age, maybe older, but she could see the the soul of a boy behind his confused eyes."
Alan: Twenty-six years buried in the deepest, darkest jungle, and I still became my father.
As the game reaches its climax, the group faces their Darkest Hour: Judy's been hit with the deadly venom from a plant's barbs, Alan is stuck in the floor with Sarah's arms also trapped around him, and Peter is barely holding off a group of massive spiders with an ax while trying to get to his sister. Sarah desperately rolls her turn in the hopes that she'll win, but fails, and you can hear her voice absolutely breaking as she reads the rhyme (there's a quick shot of her eyes closing in anguish as she finishes it, suggesting that she's lost all hope). Bonnie Hunt even delivers the line quietly to contrast the utter chaos flying around her, and the result is all the sadder:
Sarah: You're almost there...with much at stake...but now the ground begins to quake...
Near the end of the film is another particularly heartrending moment; Judy dying in her little brother's arms from a plant's poisonous barb. Her last words that she gasps out? "I...wish that mom and dad were here."
Peters response?? So do I.
Alan and Sam's reconciliation is this mixed with a Heartwarming moment.
Just these lines of dialogue:
Sam: I thought you weren't going to talk to me ever again. Alan: Dad... whatever I said earlier... I didn't mean it. Sam:[looks a bit surprised, but hugs him back]Oh... look, Alan... I was angry. I'm sorry too.
After reconciling with his father when he is sent back in time, Alan suddenly remembers that Judy and Peter are upstairs. However, Sarah tells him now they are kids again in 1969, Judy and Peter don't exist yet and have been erased from time. Even more heartbreaking is when Sarah gives Alan their game pieces.
Alan: Holy smokes! Judy and Peter! (runs to find them)
Sarah: Alan, they're not there. It's 1969, they don't even exist yet.
The ending, where Alan and Sarah meet Judy and Peter again (for the first time in the new timeline. It's implied shortly before that point that Alan and Sarah would forget a lot of their "old" adult life when they became teenagers again, but they not only remembered exactly what the kids looked like, they also sought them out to bring them and their parents to their town to be a part of their happy lives. Add in the panicked Big "NO!" when their parents mention they're planning a ski trip to the Canadian Rockies (presumably the trip they died on in the original timeline), it shows how strong a love they have for the kids, and how great a debt they owe them. Their memories of the kids survived magic amnesia and the memory fade of 26 years.
Oh! Grow Up! is where Peter died or so everyone thought. Judy hid Peter inside her pocket to trick the Manjis to letting them go. Alan, however loses it and almost ready to kill Tribal Bob for murdering Peter all the while Bob and the Manji realizes the full scope of their actions.
The final episode has the biggest, yet most subtle tearjerker in the series. Alan is finally free from the game! However he's slow to celebrate as he realises All he had to do was pull the thorn from the paw of the lion he met in the first minute of playing the game. He spent nearly thirty years trapped in Jumanji, fighting for his life as he lost his childhood, his family and everything else, and now he realises he could have been free within five minutes of starting and had all of that.
"Nothing to Fear". Judy and Peter's fears are relatively silly when compared with Alan's fear: growing old and dying in Jumanji without ever returning home. At one point, under the influence of the Triangle of Terror, Alan has a sobering hallucination: it's a time skip where Judy has a daughter, but she can't so much as attend said-daughter's birthday because she has to go help "Uncle Alan". Poor Alan is afraid his being stuck in Jumanji will lead to interfering with Judy and Peter leading normal lives.