Uther trying to carry his dying son's body to the castle, then breaking down too much to continue in season 1's "Le Morte D'Arthur".
When Merlin realizes the Dragon betrayed him. He's incredibly upset and angry at the same time. He thought the Dragon was a friend, whom he could trust.
Merlin is about to offer up his life in exchange for his mother's, leading him to say goodbyes to his loved ones without them knowing it: telling his mother not to worry about him, Gwen that she has a good heart, and Arthur that he's happy to be his servant till the day he dies.
Gaius's goodbye letter to Merlin, telling him that he's going in his place.
In "Sweet Dreams," Gwen slips Arthur a note telling him she'll wait for him at sunset. She cleans up her house, puts on a nice dress, lights a romantic candle, and spends ages waiting for him with a dreamy smile on her face. Since he's under a love potion, he doesn't come, and she eventually blows out the candle and goes to bed alone.
Making it much worse is the next morning, when she hears that instead of being with her, Arthur was with another woman. And then, she has to lie to Morgana's face about it. Once she walks away, she then bumps into Arthur himself! Ow.
Almost the entire episode of "The Lady of the Lake", which features Freya's death and the scene where Merlin pushes the boat out to the lake and sets it on fire. The worst part is that Merlin initially gets too choked up to speak the words required to set the boat on fire. He has to drop his hand, take a shaky breath, and start again.
The fact that Merlin cries when he kisses Freya for the first time. So, in a way, an in-universe example as well.
Arthur's Heroic BSoD after learning the truth about his birth.
Merlin stopping Arthur from killing Uther by convincing him that magic is evil and Morgause was lying, after hearing Arthur acknowledge, for the first time ever, the suffering that Uther has caused. The way his voice breaks...
The death of Balinor. He dies in Merlin's arms, the morning right after they finally find each other. It's made even worse when Arthur comes up behind them. You see Merlin realize he's there, then frantically wipe his face and try to hide just how devastated he is, because he can't let Arthur find out that Balinor was his father.
And later, when Arthur announces that the last dragon lord is dead, Gaius glances at Merlin to see if he's okay... and the look on Merlin's face is heartbreaking.
The death of Merlin's best friend, Will. His last words: "Merlin. Merlin I'm scared... Merlin"
The death of Gwen's father in series one, with Gwen crying over his body.
The entirety of Morgana's situation in "The Nightmare Begins". She's essentially got Gaius Gaslighting her because telling her about her magic would probably result in Uther executing her. So Morgana at first thinks she's going crazy, because that's preferable to having magic and therefore being in danger of execution or exile.
Morgana's breakdown when Merlin gives her the remedy, and she apologies "it's normally Gwen that has to deal with me when I'm like this" - it can ring uncomfortably close to people who suffer from mental illness and are afraid of their friends seeing them on their bad days.
"The Fires of Idirsholas" - Morgana's reaction when she realises that Merlin has poisoned her. At first she looks at him and her face is almost begging him to say he didn't know. Then he sadly nods, confirming that he betrayed her. When Morgause discovers this, she says "you poisoned her?", suggesting even she thinks this is a low move.
In The Witchfinder - Merlin coming home to Gaius's chambers after they've been ransacked by the guards, and his feeble attempts at tidying up.
In season 3, when Morgana finds out that Uther is her father, she looks fully prepared to pull a HeelFace Turn. The look of pure devastation on her face when he doesn't acknowledge her is heartbreaking.
In Queen of Hearts Gwen is sentenced to be burnt at the stake, but Arthur manages to lunge forward and give her one last desperate kiss before she's hauled away.
How does Morgana try and get the knights to swear loyalty to her when she takes the throne? Having guards fire crossbows into a crowd of civilians. Sir Leon lets out a heartbreaking Big "NO!" when this happens. Uther is in his cell the whole time for this, and even he is appalled that Morgana would target innocents.
When Arthur and Gwen share what they think might be their Last Kiss in 3X13. Their faces. Oh, and Lancelot's reaction to it.
Arthur saying goodbye to his despairing father before he leaves for the Isle of the Blessed in 4x01, when he's secretly planning to sacrifice himself to fix the veil.
Uther: Don't leave me.
Arthur: I have to, Father.
Also, Merlin saying goodbye to Gaius in the same episode, when he's secretly planning to sacrifice himself in Arthur's place.
Arthur's reaction to Merlin's frozen body at the end of the episode.
And at the start of the next episode when Lancelot is leaving with Merlin, you can see Arthur trying not to break down and cry as he watches them go.
Lancelot's Heroic Sacrifice was bad enough by itself... until you realize that Merlin has just lost one of the two people who knows his secret, one of the two people he doesn't have to hide from. Add to that Gwen crying at his funeral, and... damn.
Lancelot and Merlin's discussion about Gwen in the hunting cottage, and how Lancelot all but admits that he's still in love with her. Consider that Lancelot is Merlin's Secret Keeper - but Merlin is also Lancelot's, and lets him take his Unrequited Love to the grave (or spirit world).
Morgana sacrificing Morgause to open the veil. This is the only person that she cares about, the only person that she feels loved, loves her for who she is, and she is being talked into killing her so she can have back her birthright. Morgause's willingness to die so her sister can have her birthright and bring magic back is very heartbreaking. It shows for what people may think of them (evil) they are willing to do whatever it takes to bring magic back. It's like a dark version of the sacrifices the heroes are willing to do for Camelot; both sides are very committed to their cause.
Also, the look on Morgana's face when she is told of Emrys. She looks so scared, in over her head - not forgetting that she has just lost her sister, and is being told, in a way, that it will all in the end come to nothing as there is someone out there that will always get in her way.
The thought that she had to return to an empty hut, all alone and knowing all that, taking into account all that she has been through already is a Tear Jerker in itself.
The ending of 4x03. You know it will all go to crap but there's still this stupid Hope Spot... and then Merlin's healing spell ends up killing Uther. The look on Merlin's face and Arthur's reaction... Made all the more worse by the fact that Arthur acknowledges Merlin as a friend at the end of it.
Merlin: This wasn't supposed to happen.
Morgana's reaction to finally succeeding in having Uther killed. No joy or sense of triumph, just a baffled sense of loss and numb despair.
When Gwen enters Gaius' quarters in 4x07 after he's been kidnapped, Merlin turns to the door with a hopeful look. However, when he sees it's not Gaius, his face heartbreakingly falls.
In 4x09, Merlin burying Lancelot again. Was that really necessary?
Even more... it looks like it's Freya's lake.
4x09 was just one big Tear Jerker, starting from the moment Arthur walks in on Gwen and Lancelot in the throne room, especially during their duel, Arthur is about to deliver the killing blow to Lancelot and Gwen throws herself between them and begs Arthur to stop. Its bad enough for Arthur having to watch the love of his life in an act of betrayal but then to have her plead on behalf of the man she was cheating on him with...the look on his face is just pure confusion and devastation.
And the entire scene where Arthur is confronting Gwen and she's trying in vain to explain herself and Arthur is just so desperate to know why she did it. The fact that that they both are in so much pain and that Gwen is a hysterical wreck and still proclaiming her love for Arthur...it is heartwrenching.
Gwen: I have waited for you all these years. Arthur: All you had to do was wait one more day.
Then at the end, where we see Gwen after Arthur has banished her. She is all alone, packing her stuff and lugging the cart away from her home. None of the knights she has befriended over the years, not even her own brother, has come to help or comfort her; only Merlin is there to see her off. It gives you the feeling that all of Camelot has shunned and abandoned her.
The worst part is that Gwen doesn't even know she was enchanted. As far as she's concerned, she's betrayed not only Arthur and Camelot, but herself as well. She violated her own moral standards and has no way of understanding why.
Gwen: I was drawn to him, I couldn't stop myself; I don't know why!
Morgana's complete defilement of everything Lancelot stood for: his reputation as a man of honour, his unselfish love for Guinevere, his respect for Arthur, and even his role as Secret Keeper to Merlin...all twisted against him for her own petty vendetta.
The ending of The Herald of a New Age, and seeing the normally strong and stoic Arthur on his knees, face in tears as he sincerely apologises to the spirit of the druid boy for the massacre he led.
Merlin and Guinevere's reunion in the forest after months of separation. They're just so happy to see each other again, and you can tell how much they've missed each other.
Isolde's death in The Sword In The Stone Part II. You only know them for a short while, but Tristan crying over her body is just devastating. It's so heartbreaking that Arthur marries Guinevere after this, realizing that if anything happened to her, he'd be completely broken.
In A Servant of Two Masters, Arthur ignores advice from everyone to stop searching for Merlin and he completely ignores them, and stays completely loyal to who is essentially, his closest friend.
The moment late on in the show's run when Arthur consults Merlin for his opinion on magic. Merlin struggles for some minutes to get a single word out, and it's clear how much he wants to speak his mind. But then he can only manage a single sentence:
Merlin: Magic can have no place in Camelot.
Morgana at the end of Arthur's Bane. Everyone she ever cared about, trusted has stabbed her in the back, passed her away, ignored her or is dead. She's all alone except for Aithusa.
Aithusa. Just look at her. She's sick, malnourished, and can't even talk or fly. She's so messed up that she attacks Merlin blindly and has to be talked down like a wild animal, and she's spent at least part of the last two years chained in the bottom of a well.
Ruadan's death scene. For a One-Shot Character he managed to pack quite a punch, and his final moments with his daughter - having deemed her life more important than the cause - were genuinely heart-breaking, as was Sefa's loss.
Arthur slowly losing his respect for Uther over the course of The Death Song of Uther Pendragon. Arthur usually jumps straight to Heroic BSoD, so seeing him slowly walk through the Five Stages of Grief is almost painful to watch.
Merlin giving up a prime chance for magic to return to Camelot in order to save Arthur. Made worse by the fact that he's clearly fighting back tears. And then it's revealed that it was all for nothing, Mordred lived regardless. Give the man a hug and never let him go.
Elyan's death in The Dark Tower. If it's not a gut-puncher enough, you realize that Gwen is incapable of properly mourning him due to being enchanted by Morgana. Her entire family is dead, and because of Morgana's own petty vendetta she's unable to care.
Gwen's entire storyline in The Dark Tower. Morgana puts her through intense psychological torture driving her near to insanity, made worse by Angel Coulby's brilliant acting, and then acts loving and kind to her to manipulate Gwen into trusting only her. The end result: Gwen becomes her puppet. Congratulations, writers, you just made Gwen usurp Merlin as the show's official Woobie.
To top it off, they left ambiguous how long it took them to get to the Tower. This could have been going on for days.
In A Lesson in Vengeance, Merlin's despair when Arthur doesn't respond to his healing spell, even though Arthur does get better a moment later since his spell did work.
This line in The Hollow Queen, especially how unemotionally he says it. He's talking about his best friend here, and he cares about him deeply, but he's long accepted the fact that Arthur can never know as a fact of life.
Merlin: If he ever found out he'd probably hang me.
Every single one of the deaths in the Kindness of Strangers. Alator never breaks under torture and is Defiant to the End, Finna stabs herself right in front of Morgana so that she cannot gain the information she wants, and the Great Dragon reveals that this will most likely be the last time Merlin sees him, as he is dying from old age.
The Dragon's is particularly gut-wrenching, as he acts so casually about it. He knows that he's dying, and he's completely okay with it.
Dragon: It is the cycle of life. Nothing more, nothing less.
Mordred begging the knights to let him and Kara go, one by one. He's grasping at straws and he's completely alone, and all they can do is look sad and guilty as they turn him down.
Merlin is also visibly distraught on the prospect of leaving Arthur behind, but he has to go because he's in no condition to fully help Arthur because he needs to reclaim his lost power yet he can't tell him anything about it. It's very painful to see Merlin's heartbroken face when Arthur gives him the big compliment above only to show his disappointment right away toward him.
Everyone, from Gwen to the knights, seems to know they won't be coming out of this battle alive. Gwen even says that she's going with Arthur so she won't have to wait for news of his death.
Merlin's anguish when he gets trapped and unable to warn Arthur. He's trying to hard to remove the stones, and finally breaks and screams in frustration and sorrow. For our resident Iron Woobie, seeing him finally collapse was heart-breaking.
Everything about The Diamond of the Day Part 2. You start sobbing when Arthur is wounded and you don't stop until the episode ends. Special mentions to Arthur dying in Merlin's arms and Gwaine dying in Percival's.
You start sobbing when Arthur is wounded and you don't stop until... well, if the comments by fans on YouTube are anything to go by, you will keep sobbing more than a year since the last episode aired. No one wanted Arthur to die.
Just how it plays out rips you apart. Merlin is trying so desperately to get Arthur to Avalon where he can be healed. He's literally dragging him. And Arthur knows he's not going to last long enough and spends his last moments comforting Merlin.
Morgana's death also deserves a mention, Merlin says he blames himself for how she turned out.
The last scene is both heartbreaking and heartwarming, because a thousand years after Arthur's death, Merlin is still waiting for his return. They'd come so far from the kids in the pilot that didn't even like each other.
Just to rub it in? Arthur never gets to welcome magic in Camelot. He would've if he'd survived, and no doubt Gwen repealed the laws afterwards, but in a way, even after all of that, Merlin still didn't get what he'd fought for.