Jill's short text narrations where she talks about how Umbrella took everything from her, including her home, are pretty sad.
Dario Russo, the crying fat guy at the start of the game who watched his daughter get eaten by zombies. You can go back after you are done in the police station to find him eaten alive by zombies. He may have been a complete Jerkass to Jill in his only scene, but you can hardly blame him.
Brad's Cruel and Unusual Death via Nemesis. As if getting bitten by zombies to the point of infection wasn't enough, one must remember that Brad's a pilot, not a soldier, meaning he's not as experienced as Jill, Chris, or Barry when it comes to combat (and he wasn't anywhere near the Spencer Estate most of that night, so he doesn't even have the monster-fighting experience to fall back on). Just for his troubles, he gets to meet the business end of Nemesis's tentacle arm, and as implied by Jill's horrified reaction, it wasn't pretty. This scene reveals how Brad became a zombie in RE2.
Mikhail's Heroic Sacrifice to stop Nemesis especially if one recalls how Mikhail grieved for being the sole survivor of his squad moments earlier. Even Jill, who was initially doubtful of the Umbrella mercenaries, was visibly saddened.
At one point after Brad's demise by Nemesis, there's an unnamed woman you can encounter that literally cries out for help after being cornered by two zombies and then flees from them by running to the door leading to the warehouse alley entrance area the moment the camera views the woman. You can be as fast as the Flash himself, but literally nothing you do saves her in time.
The diary entry of the dead mercenary found in the Clock Tower with the girl he was trying to protect. In the end, he says he wanted to do the right thing. He did.
Even more saddening that the diary implies he had a falling out with his comrade Campbell, as he wanted to save the girl but Campbell coldly remarked "All I care about is our own lives." While the sympathetic mercenary and the girl were at least Together in Death, Campbell had to die alone, possibly in regret.
After the fight at the Clock Tower with Nemesis, Carlos, if he didn't destroy Nemesis's rocket launcher, will appear and prove that He Really Can Act by begging Jill to wake up.
The ending. Seeing Raccoon City being decimated with all those helpless people turned zombies as Jill, Carlos, and Barry Burton watch from their helicopter is absolutely heart-wrenching. Not to worry, it gets much worse. We are then treated to a still of a large mushroom cloud following the nuclear explosion as we are fed a news story informing us that other than Jill, Carlos, Leon, Claire, Sherry, Alyssa, Kevin, Cindy, Mark, David, Jim, George, Yoko, Linda, Ada, Barry, HUNK, and Nicholai, there were no other survivors. Yep, all 100,000 people vanished. All while this heart crushing track is played in the background. This is followed with even further heartbreak with this sad, but beautiful track. It's just bittersweet music: while it shows some hope for the future after Jill's escape, with the piano in the background showing it, the music is still sad because all those people are gone leaving the government no choice but to destroy the city and any remaining inhabitants.
Tony Rosato, the voice of both Dario and Nemesis, passed away in 2017, the first voice actor from this game to do so.