The scene where Joan puts make-up on Roger Sterling after he's just had a heart attack in Season 1. Joan genuinely cares for him, and while he's being his usual blunt, funny self, he pointedly speaks of their relationship in the past tense. Joan is visibly hurt.
It's heartbreakingly inverted in season four when Joan acts as if nothing is wrong when she plans to have an abortion. She refuses to let Roger go with her, drive her home, or even speak to him afterward, and their keeping the child is out of the question. Roger is now the one desperate for the emotional connection in their relationship, which Joan will not allow because they're both married to other people.
It's later revealed that she didn't go through with the abortion, and is passing off the baby as her husband's. It remains to be seen how this will play out.
Betty's struggles with her body image. These are more emphasized when she was pregnant in Season 3, got depressed and gained weight in Season 6, and quickly lost weight within that same season. Nothing is ever good enough for Betty because she doesn't believe herself to be good enough as she is.
Season 1
Roger, after surviving a heart attack. His wife and daughter come to see him in the hospital and all Roger can do is cry Tears of Remorse over how he's treated them both.
What he tells Joan while she applies make up to make him look healthier just breaks her heart.
Roger: Look, I want to tell you something because you're very dear to me and I hope you understand it comes from the bottom of my damaged, damaged heart. You are the finest piece of ass I ever had and I don't care who knows it. I am so glad I got to roam those hillsides.
It gets worse after Season 2: she gets so lonely that she is soon "getting chummy with the high school vice principal", soon gets engaged and married to a man who makes her and Glen miserable.
Season 2
Don revealing to Betty why he refuses to use physical discipline on their kids.
Peggy's stint in the hospital after bearing Pete's child and Don coming to see her.
Duck falling back deeply into alcoholism and abandoning his dog Chauncey to the streets of New York.
Peggy finally opening up to Pete about their child and the revelation that she gave her away. Seeing Pete driven to shedding a tear, especially after his difficulty conceiving a child with Trudy and his professed love with Peggy, illustrates how heartbreaking the entire event unfolded.
Joan — Joan — bursting into tears during her farewell party. After finding out that her date-rapist husband isn't going to get the job that their future financial security was hanging on. Shortly before proving herself to be the most competent damn person in the building.
The JFK assassination episode.
Don, when he tells Betty of his past and is driven to tears.
Sally's reaction to news of Grandpa Gene dying. Especially the rant she delivers at her parents later that episode.
Sal being fired and insulted for being gay by Don after he turned down Lee Garner, the Lucky Strike heir's, advances. The implication is that he never goes back to his family or life again.
Don going to Peggy's apartment and asking her to quit the firm and join him in Sterling Cooper Draper Pryce.
Don: With you or without you I’m moving on. And I don’t know if I can do it alone. Will you help me?
Peggy: What if I say no? You’ll never speak to me again.
Don: No. I will spend the rest of my life trying to hire you.
The scene where Don and Betty break it to the kids that they're splitting up. For anyone who's ever been through their own parents' divorce, it's a familiar scene and the way it's played can hit home hard.
Season 4
In "Christmas Comes But Once a Year," Sally's letter to Santa (which she knows is actually going to Don), requesting presents on behalf of herself and her brothers becomes a tearjerker. It goes from Don and Allison (who is reading the letter to him) chuckling at Sally's childish misspellings and commentary on her brothers' requests and then you just see Don's face fall when Allison reads Sally's only request:
Allison (reading the letter): "And I would like the gold necklace that you can put your initials on that we saw at Macy's. And most of all, I'd like you to be here on Christmas morning to give it to me, but I know you can't be."
Don and Anna in 4x03. When we find out Anna has cancer. Jon Hamm acts his little heart out as he says goodbye to a seemingly-oblivious Anna.
The tears are already flowing before the end, considering Anna is the only person in his life Don seems to completely and unconditionally love and trust. Losing her is going to devastate him.
"I know everything about you and I still love you."
Several from "The Suitcase":
Don and Peggy's argument. Worsened by the fact that Don's learned that Anna's condition has worsened and Peggy's lingering resentment of being under-appreciated by Don.
Peggy admitting that she tries not thinking about the fact that she gave up her baby for adoption but she can't stop sometimes.
Don: Do you ever think about it?
Peggy: I try not to, but then it comes up out of nowhere. [Pause] Playgrounds.
Peggy's reveal that she doesn't feel as attractive as she is and that she witnessed her father die in front of her at age 12 during a TV sports game.
Don finding out Anna has died and breaking down in front of Peggy, who tells him that Anna isn't the only person who "really knows" him and doesn't care.
Joan facing sexism because of her body despite being the office manager. She's so hurt by Joey's telling her "she walks around looking like she wanted to be raped" that she breaks down crying at home at Greg's suggestions she should spend some time with her office friends. She's clearly thinking no one there genuinely likes her.
Season 5
Betty dealing with her weight gain throughout the season and learning that Don is more affectionate towards Megan than he ever was with her.
Sally finding Roger getting a blowjob from Marie Calvet. She just began to trust another adult in her life and he failed her...again.
Peggy being rejected by her mother after telling her she's moved in with Abe.
Lane's suicide and its aftermath in Commissions and Fees. The Black Comedy elements of the cleaner first attempt makes it even sadder.
The fact Lane sets it up so that his body will block the door, knowing Joan would be the person most likely to try to get into his office and sparing her from having to see his body. It's likely he did this because he had romantic feelings for her - and Joan later admits in "The Phantom" that she feels at fault for his suicide because she didn't return them:
Joan: Why couldn't I just give him what he wanted?
Also the shocked and disappointed look Don gives her because he thinks she did it after he told her she didn't have to when it's later revealed he was already too late. It's devastating to both because she was one of the few woman he respected and his was one of the few men whose respect she valued.
Pete learning just how horrible Beth's life is. How horrible? Well for starters her husband is an insensitive and unloving boor who cheats on her (and she is aware of it), her attempts at genuine connections with men are often shallow and short-lived (she has been checked out since she was a minor and those men are absorbed in her looks rather than pay attention to her mind), and her husband coerces her to get electric shock treatment (several times). The fact that the treatment leaves her with no memory of Pete AND yet she still invites him in when he checks into the hospital as her "brother" says a lot about how lonely and sad she is.
Pete talking to Beth who is in recovery from electroshock therapy and barely remembers him about why he's been so miserable this season.
Michael Ginsberg's whole backstory.
Season 6
The season premiere confirming what was strongly hinted at in the Season 5 finale. Redemption Failure, bad ol'Draper is back.
Don: I want to stop doing this.
Roger's tender trip with his grandchild ends in a blunder; the boy is a bit traumatized by Planet of the Apes (1968) so Roger's daughter decides to insulate the boy from his grandfather. She seems to cut him so slack later, but it turns out she's only being nice to him for his money.
Don's monologue in The Flood
I don't think I ever wanted to be the man who loves children. But from the moment they're born, that baby comes out and you act proud and excited and hand out cigars but you don't feel anything. Especially if you had a difficult childhood. You want to love them, but you don't. And the fact that you're faking that feeling makes you wonder if your own father had the same problem. Then one day they get older, and you see them do something and you feel that feeling that you were pretending to have. And it feels like your heart is going to explode.
Stan's confession to Peggy that his beloved cousin Robbie (whom we saw in the Season 5 premiere) died in Vietnam, suddenly his random hook ups and drug experimentation look a lot less amusing, and he makes a move towards Peggy (who looks as though she's fighting herself) who rejects the offer while comforting him and advising him to acknowledge his pain rather than looking elsewhere to drown his sorrows. As she walks away, he notes how lovely her behind looks, she thanks him and walks off, leaving a dejected Stan with his hand bandaged.
And then later: Peggy is called over by Cutler, who has been viewing Stan and Gleason's grieving teenage, hippie daughter having very meaningless, pity sex. Peggy soon gets really upset, as if she took it to heart, and goes home.
The utter destruction of the relationship between Don and Sally after the latter catches Don and Sylvia reigniting their affair in "Favors". It finally shows Sally just how messed up Don can actually be, and, having now lost respect for both her mother AND her father, she decides she'd rather sever contact with them altogether and spend her time in boarding school.
Luckily, the end of the season 6 finale implies that Don and Sally may reconcile.
Several moments in the season finale:
Don's Hershey pitch.
It said "Sweet" on the package. It was the only sweet thing in my life.
Ted telling Peggy that he and his family are leaving for California, ending any possibilities of a romantic relationship with Peggy. He insists that it's good for both of them, but she's not convinced.
Ted: Someday you'll be glad I made this decision.
Peggy: Well aren't you lucky. To have decisions.
Don gives up his spot to California for Ted so that the latter can save his marriage. When he tells Megan, who quit her job after Don told her about moving, she frustratedly tells him "I can't do this anymore," implying that she's giving up on their marriage.
They went with "Both Sides Now" for the credits so there's no escaping that.
Season 7A
In "Field Trip", Roger tells Don that he can come back to work, but Roger forgets to tell the other partners about this and comes to work several hours after Don arrives. The result is that Don awkwardly shambles through the office while most of the higher-ups give him accusatory looks and treat him like some kind of fossil. Peggy even drops by just to tell him that she's still upset with him over his role in breaking her and Ted up.
Roger's actions during the partners' meeting, while also serving as awesome and heartwarming, have shades of melancholy as well. While he seemed generally apathetic to Don's return at the episode's onset, seeing the rest of the firm (especially Bert and Joan) call for Don's dismissal is enough to provoke a defensive vigor in Roger. One really gets the sense that he's hurt and angry that one of his few close friends is being trivialized after everything he's helped them to achieve.
There is also the subplot where Betty and Bobby go on a field trip. He's ecstatic that she's here and is telling everyone Betty is his mother. But then he trades her sandwich for gumdrops for a girl who didn't have a sandwich, and when Betty asks him about it, he replies that he's never observed Betty eating. Betty suddenly becomes cold to him. Later she tells Henry that Bobby ruined "a perfect day", while Bobby tells Henry that he wishes "it was yesterday again." Then Betty asks Henry if she's a good mother and why her children don't love her.
Megan tells Don she wants a divorce.
Roger trying to get his daughter to come back home to her young son after she runs off to a hippie commune. He asks her how she could leave her baby. Margaret asks bitterly if he felt bad all those times calling his secretary from a hotel to pick out her birthday present. Roger has no response but the look of regret and guilt on his face says it all and he walks away dejected.
Don moving into Lane's old office and finding his Mets pennant.
Ginsberg becomes completely unhinged by the presence of the new computer in the office, cuts off his nipple and gives it to Peggy. Peggy calls to have him committed and he's taken out of the office strapped to a gurney raving to his co-workers "GET OUT WHILE YOU CAN!"
The sadness from both Stan and Peggy over their friend's mental breakdown with Stan riding with him in the elevator and Peggy, whose eyes are red from crying glaring at the new computer accusingly.
Julio and Peggy crying when they learn that he and his mother will be moving to Newark. The combination of them crying and hugging; Julio moaning that his Mom doesn't care about him and Peggy replies that his Mother does and that's why she made the decision becomes very acute when one remembers that Julio is just a year older than the child Peggy had given up.
Bert Cooper's ghostly farewell to Don at the end of "Waterloo", singing and dancing to the "Best Things In Life Are Free". You're laughing at the audaciousness of the show's producers to break out a what-the-hell send-off, and you're crying at how it's the best way to let Robert Morse say farewell with his character to the audience. And you're worried about how badly Don is still cracking up when he's seeing this.
Bert's death in general, particularly Roger's reaction to it. When it looks like Cutler is going to succeed in ousting Don from the firm, Roger has a heart-to-heart with Don, revealing his fear about losing everyone close to him.
Roger: ... now I'm going to lose you, too.
Don realizing during a phone call to Megan that their marriage is finally over.
Season 7B
Don learning in "Severence" that Rachel Katz, nee Menken, died from leukemia and had left behind her husband and a few young children. The look on his face during her funeral says it all.
Also in "Severance", it's made pretty clear that despite being filthy rich and being able to have sex with as many women as he wants, Don is completely and utterly miserable.
As much as it was a CMOA for Ken to tell Roger and Pete they are now going to have to deal with him as the new head of advertising at Dow, it is sad that he gave up his chance of finally writing a novel(which his wife was supportive of) just to get petty revenge.
Also earlier we finally see him without his eyepatch and his right eye is permanently scarred shut, adding poignancy to when Cynthia tells him "You gave them your eye. Don't give them the rest of your life."
Diana telling Don about how she lost two daughters: one from the flu and another living with the girl's father. She tells Don "You didn't ask why".
Joan almost deciding to send Kevin away as not to threaten a budding romance with a man she met. She sounds very conflicted about it.
She yells at Maureen her babysitter "You're ruining my life!" and she was clearly talking to Kevin and cries after he says "Bye bye mommy." as she leaves.
Sally tearfully calls Glen's home to try to apologise and to say goodbye to him before he gets shipped to Vietnam. She ends up speaking with his mother, who's a wreck.
Sally realizing and voicing that her parents are narcissistic and that she doesn't want to become them. Worse is her reaction when Don informs her that she takes after them.
Don telling her "You're a very beautiful girl. It's up to you to be more than that." It's made all the more significant considering that Don was told off by Mathis that Don only succeeded because of his looks.
Glen revealing to Betty that is real reasons for enlisting are: to impress her, because his abusivestepfatheris proud of him, and because he was going to be kicked out of the house for his failing grades; he tells Betty that he's afraid of dying.
Peggy confessing to Stan that she was separated from her baby. Made worse by the implication that in spite of it being nearly a decade, she's never really moved on.
Peggy: Maybe she was very young. And followed her heart and got in trouble. And no one should have to make a mistake just like a man does and not be able to move on. She should be able to live the rest of her life just like a man does.
It's brief, but Stan notes that he felt as though his mother never wanted him, this then leads to Peggy's confession.
Trudy is in the same place Helen Bishop was in Season 1: Divorced with a child and treated as a pariah by the women and as easy meat by the men. She then wonders if anyone will find her desirable in her forties. She sounds so broken.
All the non-partners are worried about their jobs at the agency and then start walking off the partners before a grand speech begins after it's revealed the agency has been taken over.
Don's desperate bid to retain Sterling Cooper's independence. Joan is not impressed and offers a deflated "are we really going to play this game?" Although downplayed, Don has another Kick the Dog moment when he dismissively mentions that they'll give away Joan's account to McCann, wrapped in a bow.
Despite doing her best to integrate with the company culture in McCann, Joan's treated dismissively and told up front that her subordinates "won't work for a girl." Finally fed up, she tries to get Hobart to buy her out, but he only offers her half of what she's entitled to, in spite of her threatening a lawsuit. Later in her office, Roger convinces her to accept, saying that he can't help her, and that the lawsuit isn't a good idea since she could end up broke. Realizing that she has no option left, she accepts Hobart's deal.
As she leaves the office, she takes only two things: a picture of her son, and her Rolodex.
Seeing the SC&P offices abandoned. Like Roger told Peggy, she isn't going to have this much fun anymore at McCann.
The scene where Roger plays the organ and Peggy roller skates was beautifully filmed and acted, along with a FunnyMoment of Awesome, yet also carries a Tear Jerker feel as explained by Tom and Lorenzo on their Mad Style blog
Tom and Lorenzo: And now we’re going to poop all over this wonderful, beautiful scene and ruin it for you. It seems to us most people look at the scene above and are seeing it through Peggy’s eyes; that fun, slightly sad time she got drunk and roller-skated through her old office; a story she’ll reminisce about herself some day when she’s Roger’s age. But to us, the sadness of this scene was almost unbearable to watch. Maybe it’s because we’re closer in age to Roger than Peggy, but we saw it more from his perspective; from a man who was watching the only thing left in his life that gave him standing and purpose being dismantled, knowing that he was going to be shuffled off to, as he put it, “the geriatric floor” at McCann, where he would no longer have power in his life. This was very much about a young vs. old point of view. Peggy is celebrating the next step in her life, Roger is playing a funeral dirge because he knows the most important and productive parts of his life are now over. In addition, the highly unusual camera work of the scene heightened that sense of sadness. It was thematically appropriate to spin around like a carousel while Roger played “Hi-Lilli Hi-Lo,” but it also served to take you on one last tour of the wreckage as the camera followed Peggy’s flight. Oh look, there’s where Miss Blankenship died. There’s where Lane hung himself. There’s where Joan’s old office was. It sealed that sense of finality in you. It closed the lid on the coffin of SC&P.
Betty is diagnosed with terminal lung cancer and is given less than a year to live.
Henry visits Sally and convinces her to come home for a visit in order to convince Betty to seek treatment. He tells her that it's okay to cry, only to immediately start crying himself.
Betty tells Sally that she's refusing treatment because she knows that her time is over. She also tells Sally that she watched her own mother die and refuses to subject Sally to the same thing.
Betty: I’ve learned to believe people when they say it’s over. They don’t want to say it, so it’s usually the truth.
Betty's letter to Sally, which is a very precise set of instructions for her interment and a final message to her.
Betty: Sally, I always worried about you because you marched to the beat of your own drum, but now I know that's good. I know your life will be an adventure. I love you. Mom.
Don breaking down during the fundraiser as he shares the story of how he killed his Commanding Officer during the Korean War.
In the series finale:
Don's last conversation with Betty. She's genuinely appreciative of his efforts to try to help but she insists that things be as normal for the sake of the kids, which unfortunately means he shouldn't be around.
After their phone call ends, she starts crying. She realized that Don was never the man she and her kids can depend on and there is no reason to start again now.
Also the implication that Henry wasn't even considered to have the kids since Betty thinks a man and a woman...a.k.a. her petulant brother William and his wife are more capable of raising children rather than single men.
Bobby telling his sister that he knows that their mother is dying.
Bobby: She's lying down. That's all she can do. I don't know what she thinks I think, but I heard everything before they stopped fighting.
Angie, a fellow attendee at the camp/retreat, tells Stephanie that she feels sad about learning that Stephanie didn't enjoy being a mother, and had abandoned her child.
Angie: My mother left, and I can tell you that your baby is going to spend the rest of his life staring at the door waiting for you to walk in.
Also Stephanie talking about how her parents always criticized her and her choices and how she felt critiqued as a little girl. The Poor girl seems lost since Anna died.
Richard leaves Joan, deciding that he can't be part of her life while she still has a career.
Don's final conversation with Peggy.
Peggy: What did you ever do that was so bad?
Don: I broke all my vows, I scandalized my child, I took another man’s name and made nothing of it.
Leonard's sharing at the camp, which reveals how unhappy and unloved he feels. It strikes a chord with Don, who stands to hug him.
Leonard: It's like no one cares that I'm gone. They should love me. I mean, maybe they do, but I don't even know what it is. You spend your whole life thinking you're not getting it, people aren't giving it to you. Then you realize they're trying and you don't even know what it is. I had a dream I was on a shelf in the refrigerator. Someone closes the door and the light goes off, and I know everybody's out there eating. And then they open the door and you see them smiling. And they're happy to see you, but maybe they don't look right at you, and maybe they don't pick you.
. The fact she sold herself out and has slept with a man who isn't good enough for her, is heartbreaking.