The death of Aoi Satan/Shinnosuke Yamazaki at the end of chapter 1. For those who have learned his backstory and his relationship with Kazuma in the first game, it's hard not to feel sorry for him when he gets brutally stabbed by his former comrade who has been possessed by Kyogoku.
The game will hit you hard if you've played the first game and are shocked by Kaede's initial appearance. Even Sumire was shocked and thought she was seeing Ayame.
Orihime's estrangement from her father Seiya Ogata due to the latter's involvement in the art industry. Not only that but Carino Soletta's father had some reservations about Ogata marrying her.
Kasha's attack at the art festival leaves Ogata seriously wounded in Orihime's arms. It's very sad to watch, given their long-term estrangement.
The aftermath of Musashi's revival. We get to see the reactions of the poor citizens as they run for their lives and scream in terror of the impending doom descending from the skies.
The death of Kazuma Shinguji towards the end of the Final Battle. He shields Sakura from Kyogoku's blast as a final act of love towards his daughter, and dies in her arms for good shortly thereafter. Anyone who has ever lost a parent will know Sakura's sorrow.
Ikki Yoneda being the last member of the first anti-demon team is a major tearjerker. With Ayame sacrificing herself to save the Flower Division in the first game, as well as Kazuma and Shinnosuke's own deaths in this game, Yoneda has now lost all of his former comrades and has to live with being the squadron's Sole Survivor.
Ogami departing for Paris at the end of the game. Just before his ship leaves Tokyo, everyone in the Flower Division wishes him good luck. Then, he reads a letter from one of the top girls he romanced throughout the game.