That entire arc is a Tear Jerker once you've seen all of it, from the reveal that Yakumo kept killing youkai children who went insane, to Yakumo himself going berserk, to Goku almost asking Sanzo what would he do if Goku went berserk and Sanzo calmly replying to the unvoiced question "I'll kill you". And the way Goyjo and Hakkai react to the tragedy makes it clear that they're aware that, being youkai themselves, any of them can end up like this at any point.
Just about anything to do with Koumyou, because you know how it's going to turn out.
"I want something I don't have to protect."
"Be strong, Genjo Sanzo"
Sanzo's prayer for the living.
Lirin, of all people, gets one when Yaone finds her staring at Kou's frozen mother, wondering if maybe she'd love Lirin even though Lirin's not her kid—unlike her biological mother, who she knows doesn't love her at all.
The entire manga chapter "10 Years Ago."
Goku and the bird. It's a dead bird. And you will cryyyyyy.
The Burial Arc is extremely intense emotionally. Particular Tearjerker moments:
The flashback to the first time Sanzo ever killed a man, at age 14: he shot the man who was threatening to rape him at point-blank range. He's still having nightmares about it 4 years later.
Abbot Jikaku's death, which echoes Koumyou's. In Saiyuki Ibun, we see Jikaku actually knew Koumyou (then named Houmei) before he ever became a Sanzo.
In the manga, after Gojyo leaves alone to go after Kami-sama, Hakkai gets into an actual argument with Sanzo. After reading seven full volumes of him alternating between Stepford Smiler mode and cold-anger mode, watching him shout is like watching your mom shout; it's scary and not right and you want it to stop. Now, please?
Speaking of that arc, the death of the twins after Kami-sama used them to do his dirty work, and Gojyo's HBSOD over not being able to save them is heartbreaking.
Sanzo also gets one when—stripped of the sutra he's supposed to be protecting and the last link with his master, horrifically injured and in no state to even stand up—he continues to try to crawl out of bed to go kill Kami-sama and get it back. But the kicker is him insisting they don't call him "Sanzo" as he does it. Because that's not his name after all: it's a title, given to the keepers of the sutras, and he's lost not one but TWO sutras now. For his entire adult life, he has defined himself by his title and his quest to recover the Seiten sutra. In fact, he always introduced himself by his full title until Goku showed up and shortened it to Sanzo. So without the Maten, Sanzo DOESN'T EVEN KNOW WHO HE IS ANYMORE. He is literally no one until he gets it back.
Gaiden. When Nataku is ordered to kill Goku, just as Goku has finally been given a name and had been looking forward to telling it to him. Also the scene where Goku is stuck in his Superpowered Evil Side, and Konzen, despite having three trained soldiers nearby, refuses to back away, kneels and clutches Goku, pressing their foreheads together and declaring that ever since Goku put his hand in his, he hasn't been able to let go. Also also, Kenren, Konzen and Tenpou explaining a Pinky Swear to Goku, and they all swear that they'll be together forever on Earth. This series makes an amazing use of Foregone Conclusion, because even as you're getting attached to the pre-incarnations of these characters you already love, you know that they HAVE to die for the rest of the story to be possible... even though they're all so happy! And devoted to each other! And when those deaths come, it is raw and brutal.
Nataku's heroic sacrifice. He couldn't go against his father's orders, and he refused to kill Goku, so he took the only option left... the look on Goku's face when he realizes things are not gonna turn out okay just cause Nataku won't kill him...
The giant bear Nataku resisting his orders just the tiniest bit at the urging from Kenren and eating him entirely, and not leaving anything for evidence to use against him posthumously Kenren urging him on to the tiny act of defiance, even as he is dying, and sympathizing with his murderer... No wonder Gojyo has the biggest heart of any of the ikkou.
Tenpou running out of cigarettes. No seriously, especially since cigarettes are thematically linked in Saiyuki with life, his running out just as he's facing his last wave of soldiers is saturated with symbolism, without hitting you over the head.
Kanzeon Bosatsu: (to Goku) ...I've made you suffer so much. In the place of my nephew Konzen, and his companions Kenren and Tenpou... Let me be the one to tell you, "I'm so happy... to have met you."]]
Then there’s the reason Kanzeon Bosatsu wipes away Goku’s memories. When she finds Goku, he’s so broken at having lost his closest companions and witnessing Konzen die that all he can do is sit in front of the entrance door and cry hysterically. Kanzeon Bosatsu takes away his memories to save his shattered mind and heart.
The last shot of the OVA shows the whole Sanzo-ikkou's backs, then a sakura petal lands on the screen to make it ripple and they turn into Konzen, Kenren, and Tenpou
Sanzo's reaction when Ukoku gravely wounded Goku. We've always seen Sanzo hurt and Goku losing his shit over him, but to see it finally reversed and see Sanzo COMPLETELY lose it is heartbreaking, especially since he's rarely lost his cool no matter what crises hits the group.
For that matter, Gojyo trying to revive Hakkai in the aftermath of that incident. Crosses firmly into the Awesome territory, because it's plainly obvious that Gojyo is completely freaked out, yet unlike Sanzo he actually attempts to do something useful — even though he has no healing powers like Hakkai, no resurrection powers like Hazel, and quite possibly no past experience at performing CPR, either. What makes it worse is that the first thing Hakkai asks upon regaining consciousness is "how is Goku?". Granted, Goku did almost die shortly before that, but really...
"...Why are you making that face?.. :)" "Sh-shut up... Just stop talking."
Pippi's death. At first you think her fate will be left implied, but otherwise ambiguous, having kissed Goku and ridden off to a hopeless war. But right when we were starting to recover from this, Minekura goes and makes it explicit with the distant explosion and the look on Goku's face... That's just cold.
Hazel at the end of Reload, unlike Gunlock, he gets amnesia and when his caretaker hands him Gato's headband, he breaks down into tears.
Dokugaku's death in Reload Blast. He dies after thinking of the brother he abandoned and how he was trying to make amends to Gojyo by taking care of Kou.
Goku and Nataku's reunion. They don't remember each other, but Goku still calls out to him.
