Tear Jerker / Parties Are for Losers

• The ending to "KT's Official Guide to Coolness", which shows KT giving up on her ambition to be free after Sergei turns her in, expressly after she'd been given hope that he might be able to help and after she'd separated from Dmitry because she wanted to interact with normal people and believed not all of them were bad. It doesn't help that the song's got a more somber tone than the others before it.
  KT: There's no other way/Cause some things are simply/Meant to be contained/And one of them is me.
• Olya's backstory as revealed in "The Mill", where she loses her eye and a fellow Stalker to The Grinder and is afterwards faced with Nikita blaming her for what happened. Even worse, Sergei decides to stop being a Stalker after that incident when she might have needed his support the most, and it's explained that she hasn't opened up to him about any of her feelings on this for fear he'll leave her.
• Seeing that Yura's been beaten by the border guards while he was incarcerated in "Strike 3", with a black eye and bruises. And then once he's released he spends the song getting chewed out by Sergei for what he did and for Olya taking the fall for it. Contrary to what Sergei seems to think, though, Word of God is that Yura was fully ready to face the consequences for shooting the guard and hadn't intended to get off the hook.
• The entirety of the (very short) song, "message lost." In it, Nikita shows that he deeply regrets how he ended things with his ex-girlfriend Nadya, wishing that he'd at least tried to love her back and open up to her as she'd done with him. The document explaining the song implies that this is his mindset in his last moments alive.