Discord of all characters looking serious, and even sorrowful in the trailer. Especially what he says hits home real hard, even (and especially) for the fans of the show...
Discord: You're here together. Nothing can ever take that away from you.
And at the end of the trailer, Applejack's voice quietly asking "That's it, then...?"
What really sells it though is the slow rendition of the theme song that plays throughout the trailer, taking a song that is always happy and bouncing and turning it into something you would expect to hear at a funeral.
The second trailer for the final season makes it worse, such as Twilight admitting to all of Equestria that the Tree of Harmony and the Elements are gone, Canterlot Castle beingobliterated, and Twilight crying and charging her magic as Celestia and Luna are in the background trying to stop some magic force, arguably implying a Heroic Sacrifice from the Princesses!
The Beginning of the End
The Tree of Harmony, along with the Elements, getting shattered before the Mane Six's very eyes is like watching the Golden Oak Library get destroyed, but on a larger scale. The Tree is pretty much an unsung hero, baring the MacGuffins seen since episode one and providing Equestria with its own protection for several seasons, even in the background. And to top it all off, as revealed in "What Lies Beneath", the Tree was sentient. What we saw was an outright character death in disguise.
As the others charge Sombra following the Tree's destruction, Twilight just keeps trying in vain to put the elements back together.
Seeing Spike and so many of the ponies we know and love under Sombra's mind control is heart-wrenching. Even more so is watching Twilight and co. seeing their friends and family turned into mindless slaves, and having to fight them a-la "Tough Love".
Twilight, Applejack, and Rarity seeing their loved ones under mind control. Including the young foals like Sweetie Belle, Apple Bloom and Scootaloo.
Worse, he only got hit by (Well, pretended to.) Sombra because a moment ago, he had said that Fluttershy was his favorite friend, which caused Sombra to target her instead. That caused Discord to immediately jump and shield her.
There's something a bit sad about seeing the other villains shrug off Cozy Glow's attempts at befriending them... which they were right to do, considering Cozy Glow was trying to manipulate them.
Everyone's reactions when they learn that the Tree of Harmony has been destroyed, and then later when they see it for themselves.
When Smolder tries to make a statue of the tree to honor it, she laments that she is already having a hard time remembering what it looks like.
Spike confides with Fluttershy that while he always wanted to be like a little brother to Twilight and Shining Armor, he doesn't think they see him the same way. Thankfully, Shining Armor confirms by the episode's end that he and Twilight always considered Spike a sibling.
It's subtle but when Zephyr Breeze reappears, Rainbow Dash calls him the most annoying pony in Equestria, and when Fluttershy mention him to Spike, she said that he (Zephyr) could learn a lot from Spike about being a good little brother. It's sad to see that, in his last episode, it looked like Zephyr Breeze was on better terms with Rainbow Dash and Fluttershy, only for them to be annoyed with him again.
Wind Sprint's situation. With how much reverence she has for her Disappeared Dad, it's clear she misses him deeply, and to make matters worse, her mother is now dating a pony who's nothing like her father. It's no wonder that she sees Quibble Pants as just a poor replacement for her dad.
Quibble Pants doesn't have it easy either. It's clear he really wants to connect with Wind Sprint, but spends most of the episode screwing up until he thinks Clear Sky wants to end their relationship because of his failures, which he accepts with sad resignation.
She's All Yak
Yona running away in tears after completely embarrassing herself at the dance. It especially hurts considering all the work she put into preparing for the dance was all for naught.
How Spikes mood grows increasingly depressed and dejected, compared to his usual perky, friendly demeanor. Its not only the result of Garble mistreating him in this adventure, but the culmination of his previous three encounters with the teenager as well. Every time Spike has trusted Garble, or given him the benefit of the doubt, or tried to show him the slightest bit of kindness, it has always ended with Spike getting burned - whether it was their initial friendship that ended with Garbles gang trying to attack him because he wouldnt smash some phoenix eggs, or Spike helping lift a boulder off Garbles tail only to get sand kicked in his face for his troubles, or that time he was forced to participate in a race over Flash Magnus shield and Garble immediately reneged on his word and tried to crush him with a boulder. The only reason Spike subjected himself to more abuse and humiliation was for Smolders sake, to honor a promise he made to his friend, and he made no progress at all. And despite it all, Spike doesnt even really hate Garble. He just sort of accepts that this older, violent dragon will apparently always despise him, and nothing Spike does will ever change that. Its a bitter and depressing pill to swallow, but Spike accepts it, and he eventually trades jobs with Fluttershy because hes not a glutton for more punishment and he hopes shell have better luck than him.
The pony Trixie keeps out of the office seemed pretty eager to talk to Starlight about something, tearing up when denied entrance multiple times.
The Last Crusade
The Cutie Mark Crusaders nearly being separated forever.
The opening scene of the (supposedly) final CMC meeting, and the subsequent sobbings that followed. Michelle Creber, Claire Corlett and Madeleine Peters really put a lot of effort into their characters crying, making it sound like it came straight from the gut as well as the heart.
Apple Bloom: "Ah'd like to call the final meeting of the Cutie Mark Crusaders to order. First order of business...(lips quiver)...CRY!!!"
It's a bit sad realizing how trapped Luna and Celestia have come to feel regarding their roles (not that they hate their roles, but that they wish they had more freedom to do other things, especially having experienced some real excitement and fulfillment in adventure recently). Indeed they apparently are not allowed vacations, and often are only able to justify leaving their posts for more than short periods if they declare it to be an "emergency" (which is what they had declared the various non-emergencies earlier in the episode to be). Then one considers it was likely much worse for Celestia, who had to deal with this on her own for centuries (we even get the visual of the castle shutting to trap her inside), all the while nursing guilt and resentment over losing Luna.
While Celestia and Luna are thrilled to go on vacation together at first and enjoy themselves, they quickly begin to get on each other's nerves with their choice of activities. It eventually gets them into an argument where Luna accuses Celestia of not wanting her to be happy and even claiming she probably wishes Luna never came back so she could still rule day and night. The two get into a screaming match with their Royal Canterlot Voices and it ends with them both deciding to spend the rest of their vacation alone, storming off in different directions. Then there's the way they word things when they break down into arguing, with the various references to their past rift and the underlying resentment that does still exist despite their love for each other.
Celestia: Face it Luna, you are never happy! Luna: Because you don't want me to be happy! I always have to do things your way. I bet you wish I'd never come back so you could still rule day and night! Celestia: You think I like that kind of pressure? Being responsible for every little thing in Equestria and you? What I'd like is a sister I can depend on! Luna:YOU MEAN BOSS AROUND?! Celestia:CALM DOWN, LUNA!! Luna: NO! And don't you dare use your Canterlot Voice on me! I think this adventure would be better if I did it by myself! Celestia:Fine! I just remembered something I forgot I always wanted to do. Be alone! Luna:[tearing up] Guess we have the same thing on both of our lists then.
If you look at Celestia's face quickly before she argues back, you can see her reaction to Luna suggesting she didn't want her to return. The comment stung. They may not want each other's company right now, but that's still the little sister Celestia grieved a thousand years for.
Remember in the pilot, Luna said "I missed you so much, big sister?" Argument or no argument, hearing that same big sister say she always wanted to be alone (whether she really means it or not) had to break Luna's heart.
After the failed cheer performance, Rainbow Dash flat out says that nobody likes cheer leading, which upsets the whole cheer squad. Yona takes it the worst, as she runs out of the room in tears.
A Trivial Pursuit
Pinkie's sadness when Twilight gets her disqualified after purposely tricking her into breaking the rules.
Twilight: I guess sometimes even the Princess of Friendship can mess things up with her friends...
Spike's depression after Rarity drives a wedge between his and Gabby's friendship. Even Twilight remarks how she's never seen him this sad before.
Gabby's pretty broken up about it as well. Considering that she's one of the most cheerful characters on the show, seeing her walking around despondent is heartbreaking.
Just the fact that this could be seen as the end of the Sparity ship that's been present in the show since the very first episode. A big part of Spike's character was his crush on Rarity, but now he seems to have grown out of it. Fits nicely into the season's theme of all things coming to an end.
A Horse Shoe-In
Just look at Gallus' face during the parent-teacher conference. It's pretty clear that Grampa Gruff's apathy bothers him a lot, and the fight between Gruff and Trixie doesn't help. Even in his next scene he still looks visibly upset.
After Trixie ends up endangering several students with her idea of a field trip, Starlight hits her Rage Breaking Point and angrily chews out Trixie for her actions while telling her she will never get the position. Even if some of this was justified due to Trixie not taking the process seriously and thinking she was guaranteed the position, it still hurts a bit to see Starlight say she can't think of any way Trixie could ever help her and basically calls her incompetent. Trixie runs out of the classroom in tears and is seen sulking in misery in her wagon.
While it's played for laughs, there are probably a few plant lovers out there that also yelled "Phyllis, NO!" with Starlight after Trixie tossed it out. And that's how the episode ends.