The Pevensies' return to Narnia, when they realize the crumbling ruin they are camping in is actually their castle, and all their beloved friends are long-dead.
A small reminder of this appears later on in Aslan's Howe where we see a mural of Mr. Tumnus next to the lamppost.
Lucy: ... then Mr. Tumnus and the Beavers ... (in a soft, clearly choked-up voice) they're all gone.
A minor one, but when the children are opening their chests and going through their things, Susan asks Edmund where his weapon is. He simply replies that he didn't get one, and all of them trade sad looks, knowing fully well that the only reason Edmund didn't receive a gift from Father Christmas was because he was with the White Witch at the time.
Lucy has a dream about seeing Aslan, and in the dream the dryads appear before her. She wakes up to realise this didn't happen and then walks along the trees sadly whispering "wake up".
Peter's Heroic BSoD when the raid on the castle goes wrong, with a large chunk of the Narnian soldiers trapped and set to be slaughtered. It's so bad that it takes several people yelling his name for him to unfreeze long enough to get away.
The look on Edmund's face as he flies away from the castle - he gets a bird's eye view of how many Narnian soldiers have been trapped following the failed raid and the cut is completely silent, reflecting that every Narnian left behind had been slain.
Prunaprismia's Adaptational Heroism means she has to discover that her husband murdered his brother and then tried to kill their nephew. She's actually left screaming and banging against the door as Miraz leaves the room. It's no wonder she's among the first to volunteer to go through the portal at the end. A few days ago, she was a queen, and now she's heading into the unknown as a widow with a fatherless baby.
There's a Deleted Scene where Prunaprismia is nursing the baby, wondering where Caspian is. She sounds worried, showing she was not the evil aunt of the book.
The scene where the leader of the centaurs and a female centaur, heavily implied to be his wife, share a grief-filled look over the loss of their sons.
The scene where Peter and Lucy are talking after the failed siege. For all the bravado Peter puts up in front of his army, it's incredibly obvious in that moment that he's just as lost as them, and carrying immense guilt for all the lives wasted that day, to boot.
Peter: (sadly) You're lucky, you know.
Lucy: What do you mean?
Peter: To have seen him. I just need ... some sign of proof.
Lucy: Maybe we're the ones who needs to prove ourselves to him.
It may have just been the scene's lighting but after Edmund breaks the ice wall with the White Witch in it, the carving of Aslan looks almost disappointed. The music doesn't help either.
The scene with Reepicheep and his army of mice, concerning his lost tail. If their leader has to walk into the kingdom tailless, the other mice also want to do that.
Caspian and Susan falling in love over the course of the movie, then having to separate afterwards. You can tell the both of them are heartbroken about it, but there simply is nothing to be done. The longing glance Caspian throws her way long after their Big Damn Kiss doesn't really help.
The ending. The Pevensies return to the train station just after Peter and Susan reveal they can't come back to Narnia. Lucy turns around to take one last look at Narnia, only to see that it's gone and the only thing behind her is the platform. "The Call" playing on the soundtrack does not help at all.