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.
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.
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.