Warning: Spoilers Off applies to these pages. Proceed at your own risk.
The very first chapter, in Ned's point-of-view. Because the Lord Stark - the whole Stark family - just can't understand why Robb was so distressed and acted so strangely one morning after waking up, and now he's so different he's almost a stranger for them.
Jon's entire life crashes around his ears when Ned tells him he's his nephew, half a Targaryen and the Mad King's grandson.
Theon's reaction when Robb tells him that he betrayed the North in the original timeline? Puking his guts out, and asking why Robb didn't kill him after waking up in the past.
Before that, Theon is utterly baffled by Robb's hostile and cold demeanor towards him. Of course Robb is justified in his desire to avoid the man responsible for sacking Winterfell and murdering his younger brothers, but Theon hasn't done it yet. Meaning his closest friend suddenly treats him as some diseased vermin and he doesn't get why.
After saving Daenerys from discovery by the Company of the Rose, Jorah chews her out for showing herself to Northerners. When she expresses confusion about the reason why they would want to harm her, he realizes she doesn't know anything about Robert's Rebellion and has to spell out for the poor girl why her father was called "the Mad King".
After reuniting with his nephew Tyrion in Chapter 102, Gerion confesses he disappeared because he fell in love with a lowborn Summer Islander woman, and he knew his brother would never have accepted it. Tyrion sadly concedes it was the safer option.
After nearly five hundred years roaming the Lands Beyond The Wall, Coldhands a.k.a. Rickon Stark finally gets to cross the Black Gate and cast the spell that will fix the Wall's enchantments, thus fulfilling his mission and allowing him to die in peace, his last task done.
After Gendry fixed his stirrup, Tommen is left wondering why the older boy couldn't be his brother instead of Joffrey. That's even more painful in light of Tommen not actually being Robert's child.
The Reveal that Edric Dayne is actually the bastard son of Eddard and Ashara Dayne, on many levels: his conception was a moment of grief between a drugged, drunk, sorrowful Eddard right after the events in Tower of Joy, and a grieving Ashara who had just lost Elia Martell and her brother Arthur; just like Jon, all of Edric's life that he knew up to that point was a lie; and just when Ned and Cat seemed to have got over Eddard's suspected infidelity by telling her the truth, this fact pops up that shows he did have a bastard after all, and he never knew about it and can never acknowledge it in public.
When he realizes Joffrey, Myrcella and Tommen are not his children, Robert does not become angry: he becomes disappointed, because he had finally realized there was so much good in the latter two only to find out it's not because of him.
Despite what he's done, it's still sad to see Jaime discover that he was wrong about wildfire degrading over time, which means that by not speaking up about one of the few things he was proud of, saving King's Landing from Aerys, out of pure stubbornness, he has actually put the city at greater risk.
After so many earth-shattering revelations, Ser Barristan Selmy is very much in a funk, feeling he was nothing but a failed knight and not up to the task of rebuilding the Kingsguard.
Only gets worse later when he learns that the Kingsguard, including the Lord Commander before him, held Lyanna down so Rhaegar could rape her. Selmy is utterly shaken that people he knew, his friends, could do something so horrible, and given how he dislikes the current Kingsguard and has been assigned to rebuild it, he is obviously greatly distressed to learn the order had been in shambles long before Cersei's influence.
Jaime only did his Trial By Combat because he wants to be free of the title "Kingslayer" on the Wall. When Robert utterly defeats him and he lies on the ground begging Robert to just kill him the Demon of the Trident delivers what might be his worst blow:
Robert: No. Gods, you can't even defend yourself, and I'll not kill such a man, despite what you've done. No. You'll go to the Wall. You'll defend us all. And no more smirking. We need you, Kingslayer. And I keep my word. You'll go to the Wall. Learn from my example.
And later, Alerie and Olenna arrive to pay their respects to their husband and son.
Robert finally learns that Lyanna bore a child by Rhaegar, and she was so afraid of Robert killing her baby she made Ned promise to hide him. Hearing that he scared the love of his life and his best friend so much is a heavy blow to Robert.
When discussing Robert knowing that Jon is Lyanna's son, Ned brings up the death of Elia's children. Robert admits that he had been terrified of being king and when Tywin showed him the bodies he knew he had to be strong... so he laughed. Only when he saw how mad Ned was and disappointed Jon was he knew he'd made a mistake. After Ned left Robert wanted to just sit down and sob and then tried to follow after to save Lyanna but Jon convinced him not to, as the realm needed their king more than ever.
Myrcella's internal despair at how her life's been ruined by the reveal that she's a bastard.
Made worse when Tywin spells out to Cersei about how badly she's screwed up. He mentions that Myrcella is the only one of her children to escape the taint of madness/instability (Tommen, though nice, is a bit cat-crazy), and he talks about how promising she was, how intelligent and practical she is, how the heirs of the great houses would be clambering over each other for the honor of marrying her, how she had a good chance of marrying Robb Stark... and now, that promising future is gone, she's completely aware of it, Tywin can tell she's aware of it, and the only good thing she has left is that Grandfather Tywin promised her future husband would be kind to her. Tywin even says that even he wanted to weep at that.
During his rant, Tywin states that, for the first time in his life, he's almost grateful that his wife is dead, because knowing what her twins had been doing would have broken her heart.
Tywin also makes it clear that pretty much the only reason he doesn't kill Cersei himself is because he doesn't want to disgrace the Lannister name any more than Cersei already has by becoming a kinslayer. He flatly tells her that she is an utter disgrace and washes his hands of her before leaving her in her cell.
Daenerys hears of the wildfire plot and rocked to finally understand just how twisted and insane her father was. Also, how her brother must have known of this and had a hand in it.
Ser Duncan relating the tragedy of Summerhall, and the sorrow he felt when his friend and liege Aegon the Unlikely ordered Duncan to leave him behind in the flames with his dead son.
Worse still is the cause of the tragedy: not a plot or a conspiracy, just a single, overeager pyromancer wanting so badly to help his king succeed, who brewed a batch of wildfire that was hotter than the rest, causing the mix to go horribly out of control.
Varys having to kill Jon Connington and Aegon, which he had to because they would have been too obstinate and unwilling to face the reality of the Call. It is also revealed that both Connington and Varys knew that Aegon was not a Targaryen, which means both men lied to a kid who probably barely even realized everything that was tied down to that name.
When Ned travels to Barrowton, he finds out that Barbrey Dustin told the Company of the Rose's Dustins to leave the keep, stating that she believes they are trying to steal the keep from her. However, when Ned gets some time alone with her, she reveals that the true reason is that Brandon Dustin looks so alike to her deceased husband Willam that she feels attracted to him, but she has been living in grief and bitterness for so long that she does not know how to deal with that.
At Ygritte's request, Barbrey sings "Jenny of Oldstones" one of the saddest songs in Westeros. Made sadder by the fact that Barbrey herself is haunted by the ghosts of those that she loved.
Jon Arryn's reaction to Bronn arriving in King's Landing with the captive Lysa is to sadly reflect on all the things she did without him managing to notice it.