The Prince finding King Sharaman dead, mournfully hugging his lifeless body. Even in his Sand-monster form, it doesn't change that deep down, the Prince is but a bereft son whose lost his father.
Hsving escaped the Dahaka and defied fate itself, seeing Kaileena die at the hands of the Vizier is a real Player Punch, making you feel that the previous game was All for Nothing. The fact that she narrates the scene with Dissonant Serenity only makes things worse.
Another All for Nothing example, despite the events of the past two games, the Vizier still killed the Maharajah, and Farah now has no memory of the Prince even as the visitor who rescued her.
Possibly an Alas, Poor Villain moment, but the last thing you hear the Dark Prince say is a desperate "don't leave me behind!"