Tear Jerker / Sansûkh

• Dáin's, Brand's, and Bombur's deaths. Ouch.
• After Shelob's attack, everyone thinks Frodo is dead. Their reactions are heartbreaking.
• Boromir's slow descent into madness as the Ring tightens its hold on him is made even worse than canon by Thorin's observation because he knows exactly what is happening - he has been there and suffered that. Thanks to both that and Boromir's sense of duty, he identifies very strongly with the man. This makes the inevitable end, including Boromir's last stand, all the worse, as Thorin has a Rage Against the Heavens moment, howling that Boromir deserved better.
• The reveal that Tauriel died trying to reclaim Dol Guldur. And that Kíli watched and has been repressing his grief and the truth that she was his One True Love for most of a century for his uncle's sake.
• After getting to know all of the other Dwarves, Moria - and Gimli's reaction to it - is even more heartbreaking.
• When Gimli sees Fíli and Kíli for the first time in eighty years in Chapter 34.
  "I cannae believe this," Gimli's hand half-rose as though to touch Fíli's shoulder, and then he appeared to check the motion. "I cannae believe I see you here. Do I dream?"
  "No, little coz," said Fíli, smiling broadly. "And neither have you touched a drop, before you ask."
  "Little!" Kíli snorted. "He's bigger than either of us now."
  "I am always your little cousin," Gimli said, his heart in his voice.
• Dís's grief after Thorin's, Fíli's, and Kíli's deaths. Her parents, husband, and brother are already gone and now her big brother and both her children are gone too.
• Dori after Nori dies and Ori leaves for Moria. He ends up outliving both his younger brothers.
  • When Gimli finally brings back word of what happened in Moria, Dori, Dwalin, Gloin, and Bofur all share a moment commiserating and supporting each other in their grief at being the last of their siblings. This extends to Dís as well.
• When Gimli is missing Lóni, Flói, and Frár - the friends who went to Moria and never returned - and jokingly wonders if he ought to take up with one of Bombur's children who have developed a crush on him. Thorin unintentionally makes him feel worse when he sternly reminds Gimli that Alfur is a child - at which Gimli, subconsciously picking up on his words, bitterly says that he cannot even joke with himself anymore.
  Gimli: I miss my friends. They laugh and smile.
• As Thorin, thanks to a lot of Character Development, realises, Elrond is both joyful and deeply sad when Arwen marries Aragorn, something Gandalf picks up on. And if you know Elrond's history, then you know that, if anything, Gandalf is understating things.
  Gandalf: I see your expression, Thorin Oakenshield, and your pity does you credit. If I told the tale of all that Lord Elrond has lost, then the very air would weep. He is unused to joy without sorrow. But he will reach for joy nevertheless.

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