X: "Since you've disappeared I've been fighting this war alone against an uncountable number of Mavericks for nearly a hundred years... Battle after battle...so painful and so sad...but the hardest part was when I discovered that I no longer cared about fighting enemies the enemies I fought..."
What makes it worse is that it's X we're talking about.
The music at the end of the first game, "For Endless Fight", qualifies as this on a meta level.
Elpizo destroying X's body in the second game. You get a CG close-up of Zero's anguished face watching helplessly as the last thing keeping his best friend alive explodes before his very eyes.
The Guardians of Neo Arcadia sacrificing themselves to give Zero the opportunity to destroy Omega.
X's final goodbye to Zero at the end of Zero 3. Not only will the sad ambience of it all really tug at you, but the fact that X won't be around to see the peace he and Zero fought long and hard for is made blatantly apparent here.
The song, "I, 0, Your Fellow" that plays during that exchange, which really hammers the sadness of the moment home. The remix on the official album is even more of a Tear Jerker.
The battle against Crea and Prea in Zero 3, especially their last words upon being defeated.
In Zero 4, if you talk to the caravan members before going on the final mission, you'll find out that they ALL want you to come back safely and do stuff with them. All those jaded humans and your fellow resistance members are finally closing the gap created by centuries of war, and all want to share their experiences with you as they finally start living in harmony together. This should be in the heartwarming section, but alas...
There's also Alouette. Zero's last (optional) conversation with her has the girl extract a promise from Zero that the three of them (including Ciel) should someday explore Area Zero together. Oh, and if her dialogue as Prairie is taken into consideration, it might imply that she's fallen for Zero herself (seeing as she had feelings for Giro, Zero's Expy, because she herself stated that the man reminded her of Zero.
One that's often missed in 4 (though understandably so, given just how bitter the Bitter Sweet Ending is) is that Zero is a lot more emotive in this game. There are a lot of points where the old Zero from the X series peeks through, as Zero has finally begun to understand the past. He's a lot more willing to crack wise at Mavericks this time (much to the chagrin of Popla Cocapetri and Mino Magnus), and he's a lot more outwardly supportive towards Ciel's feelings. Why is this sad? Because he's also formed certain opinions about himself that only get reinforced throughout this game - Niege stating that he and Craft are no different from Dr. Weil so long as they continue to fight really hits him hard, even if he doesn't show it, and after being forced to put Craft down to stop him from killing everyone in Neo Arcadia, he actually agrees with this assessment. Though he later states he's only ever fought for what he believes in, there's a real sense that he's been going through what X apparently went through the last one hundred years.
Craft successfully blasts Neo Arcadia. Sure, he was doing it to finally kill Dr. Weil, but the action definitely crosses the Moral Event Horizon because there were people at the area where Craft fired. Innocent people, humans just trying to survive a tyrannical government. The hopelessness of the situation was such that Craft, once a hero by Neo Arcadia's standards, broke down and committed a terrible atrocity to try and make right. And it was All for Nothing; the body Weil now has is virtually invincible, and he only suffers some minor damage from the blast, wisely deciding to play dead and lie low so that Zero could deal with his traitorous subordinate before taking the reigns again. According to the manual, this kills 20 million people.
The ending of the series. After Zero's Heroic Sacrifice, we see Ciel break down crying all the way through the closing credits. At last she tells him, wherever he is, that she'll follow his example and make the world a better place. "Just come back someday...I...I believe in you!" Cut to Zero's shattered helmet amid the wreckage of the Ragnarok satellite — he's not coming back, folks. Absolutely brutal.
Not to mention that Zero dies aboard the Ragnarok satellite as it falls towards the Earth, and the player sees lots of shooting stars falling as Ciel cries. Yes, that's right, the player is watching Zero and remnants of Ragnarok burn up on re-entry as they see Ciel cries her eyes out.
The Japan-only (prior to Collection) vocal intro to the Zero 4 credits theme "Promise -Next New World-" translates as follows:
Always overflowing in my heart, My feelings for you. There is no forever, so I want you by my side for now.