Lydia's clear anguish over being separated from Betelgeuse - and his over being kept away from her.
In the flashback chapters, Betelgeuse's ill-fated love for Avelyn leading to his gruesome murder. It's painful enough by itself, but made even worse when it's revealed that Avelyn had decided to accept his proposal after all.
Realizing that Lydia is descended from, and reminds Betelgeuse of, his foster daughter Katelin.
Maddie Fenton's heartbroken realization that Danny never told them about what happened to him because he was afraid. Loving mother that she is, the discovery that her own son might be afraid of her almost destroys her.
Lydia finally breaking down and allowing herself to properly grieve for the deaths of her father and stepmother, as well as weep for everything else that happened, is nothing short of heart-wrenching to picture.
Say It Again
The flashback dream sequence which shows the death of Lydia's mother. Lydia was just seven years old, and she was there. It's made even more awful because Cathy Deetz dies in a car accident - just as Charles and Delia do later.
This even causes a "Funny Aneurysm" Moment over the fact that in Say It Thrice, Lydia casually mentions that her parents seem to keep getting into fatal car accidents. She's not joking in the slightest. Not only is that the way both of her birth parents and her stepmother died, but it's also the way her "ghostly godparents" died too!