Episode 243, "Ghost Stories": All the stories are depressing in some way or another. The story of Googlie Island ends with the mobs realizing that their peaceful way of life is over forever after the death of their king, the story of Evil Mr. Porkchop ends with the titular character cursed to be a pig-human hybrid until he can find as many pigs as he had when he was human, and while it does get better, the story of the ghost dogs starts with Stampy mourning their untimely deaths.
Stampy: Lucky was chasing a villain on the run, and Aqua just wanted to join in on the fun. The Arbiter and Sparky, they died together... and Gregory, who I will love forever.
Episode 320, "Sleepy Stampy": During the chaos of the episode, Barnaby is dognapped by Hit The Target — and unlike every time before, he isn't saved by the end of the episode. What's even worse is that Stampy doesn't realize that he isn't in the doghouse until it's too late, leading to him desperately running back to the Tick-Tock Clock Shop in the pouring rain and calling out Barnaby's name to no avail.
Episode 339, "Bye Bear": Lee Bear leaves to hunt down Hit The Target. Unfortunately, we have never heard from him ever again, and Hit The Target is still at large, along with his girlfriend Veeva Dash.
Episode 355, "Friends and Foes": Stampy's fear over Veeva Dash (who he didn't know was secretly working for HTT) being hurt by Hit The Target, and his subsequent betrayal at her hands. He had genuinely considered her a friend and was willing to take on HTT for her safety, and was devastated when he realized her true colors. Even worse, when William Beaver shows up later in the episode to help Stampy fight the Wither, the first thing he asks is if William is also working for Hit The Target. This cat really needs a hug...
Episode 455, "Revenge": The destruction of both Polly and Squid's houses via Hit The Target and Veeva Dash's laser. Polly's house had just been finished and was Stampy's attempt to give her a home of her own, while Squid's house had been in the World for years, even after he left the series. Making it even worse, while Polly's house was eventually rebuilt, Squid's was beyond the point of repair, to the point that the area was just sealed off for good.
Barnaby's death in Episode 500, "Memories". Just minutes ago, Stampy was just talking about how Barnaby had been with him for practically the entire series (492 out of 500 episodes, to be exact)… no wonder he went on a Roaring Rampage of Revenge when HTT killed him.
Stampy: [...] Right, I need to try and take him out, or at least scare him away, so he doesn't end up ruining the video and– oh, no! He's attacking Barnaby! HitTheTarget's attacking Barnaby– HitTheTarget:(kills Barnaby) Stampy: No! (sets HitTheTarget on fire with his sword) I think HitTheTarget got Barnaby! Right! I need to take him out! He's not gonna get away with this, I need to get him– I set him on fire and– HitTheTarget:(burns to death) Stampy: I did it. I took out HitTheTarget, but... but Barnaby. HitTheTarget... took out Barnaby. He's not here. Barnaby's not with me anymore... (cue the rewind)
Episode 541, "I Lost": At the end of the episode, Stampy surrenders to Hit The Target. Despite the Spoiler Title, the ending was just as much of a gut-punch as it would have been otherwise, as Hit The Target successfully captures Stampy.
Episode 542, "Hero Helpers": At one point, Hit The Target aims his bow at Stampy, who claims that he's done being scared of him and that there's nothing HTT can do to intimidate him anymore... at which point he aims his bow at Barnaby. Stampy immediately does a 180, begging Hit The Target to not hurt his dog.
Stampy: They must have controlled her mind, or kidnapped her, or forced her to do something she didn't want to do– I DON'T KNOW! They've done something to Polly to make Polly stick with them rather then coming to me, because there's no way Polly would have done that otherwise.
The state the real Polly's in when Stampy finds her — she's been stuck in a tiny cell for almost three months, and is clearly worse for wear. Stampy is horrified when he realizes what's happened, and immediately starts apologizing for not noticing sooner.
Episode 670, "Hacked":
After being kicked from his Lovely World and rejoining it, Stampy's reaction to all his dogs being kidnapped and his account being hacked to render him The Load, unable to interact with the World at all.
Stampy: […] (looks around) I'm back, but... but where's HitTheTarget? He's gone. You don't think he's got away with all of my dogs already, do you? (enters Doghouse) They were all here this morning, I just put Barnaby here and they were all here, how would he get them away so fast, but no! They're gone– look! (walks around an empty Doghouse) Every single one of my dogs has been taken, the whole Doghouse is empty! Do I have permissions? Can I do anything? (tries to open a side door to the Doghouse, to no avail) I still can't open doors?! That means I won't be able to attack or place blocks, I can't– I can't do anything in this world! (exits the Doghouse through the main entrance) I'm basically just here, but... I can't interact with it at all. What am I gonna be able to do? How am I gonna get my dogs back if I can't do anything?
Also see his realizations in the Nightmare Fuel entry, because thinking that the World could have beendeleted altogether...
Episode 680, "Turny Journey":
When Stampy gets knocked into the Void by an enderman, he lost everything, most notably his compass pointing back to the Main Island of The End so that he can go home, all the loot he had gathered in the End Cities, his armour, and his Infinity +1 Sword that he got years ago as a Christmas gift from Lee Bear in Episode 154, "Saving Santa". Especially after his numerous attempts to Ender pearl back up to the End islands...
Later in the episode, once he retrieves the Elytra he worked so hard to get, he flies off... into the Void, losing the Elytra. He noticeably has a moment of Heroic BSoD before pressing respawn.
Episode 700, "Tragic Day". Hoo boy, this is a rough one, and let's just say there's plenty of reason for such a title.
Hit The Target's plan involves a massive clone dog army (numbering at 40 being the minimum) meant to attack Stampy, meaning in order to survive, Stampy has to cut through wave after wave of dogs. He clearly feels awful about doing it, but knows that there's no choice.
Bengy and Corey both die, with Fluffy being mistaken for dead for 19 episodes. There's no rewinding like in "Memories", no fakeout that it was a clone version of them, and no way for either of them to come back (since Stampy destroys the Cloning Contraption later in the video).
The thumbnail of the episode hits hard as well, considering after the events of the episode, it's confirmed it will be the last time we see the two currently deceased dogs on a thumbnail ever again.
The destruction of the Cloning Contraption, one of the most iconic structures of the SLW, as well as the fact that Stampy describes it as "something [he] should have done a long time ago". The way he phrases that sentence ("should have done a long time ago" instead of "should do to make sure this doesn't happen again") implies that after all this time, he still feels guilty over Stampy Cat Clone's death back in Episode 184, "Clone Calamity", which was released back in 2014, i.e. over seven years ago.
Episode 701, "Remembering":
Starting in this episode and continuing until Episode 705, Secret stays in Stampy's room due to feeling overwhelmed in the Doghouse. It's not as heartbreaking as some of the moments from the previous episode, but knowing that Secret had gone so long without company that she was physically stressed out by it is still rather upsetting.
The memorial montage of Bengy, Fluffy, and Corey is very bittersweet. It's a nice trip down memory lane, but at the same time, it really cements that despite everything, Bengy and Corey are gone for good.
Episode 708, "Where Is Your Head?": It's a brief moment, but as Stampy collects leaves from the Gregory Tree to put in the museum, he sadly mentions that there aren't many reminders of Gregory around his world since he died after his first episode, and that the tree is really the only thing he has.
Episode 719, "I Won" reveals that Fluffy survived. Stampy found her sitting in front of her own Memorial, but imagine being mistaken for dead, having your loved ones mourn your loss and even make something in your honor — that must've been what Fluffy felt all this time.
Stampy lamenting abouthaving grown complacent to 'victory' after escaping from HTT and Veeva Dash's fortress-converted trap and that he should "never relax" when either HTT or Veeva Dash were still at large. Never mind that in itself being a rather unhealthy mentality to have, back in Episode 720, "Build-A-Bot", Stampy also admitted to having a "little" constant anxiety/stress from HTT and his shenanigans. In other words? Sir, please staff the therapy office in the clinic so you can get some therapy.
We get a glimpse into HitTheTarget's perspective for the episode, and he blows up Stampy's bedroom (with Polly and Fizzy's snow-builds, Dolly Snow-deer and the Snowman Party as Collateral Damage) and redecorates it for himself and Veeva Dash. Considering the amount of history associated with the old bedroom, most of the premiere chat were notably infuriated.
We also have Stampy and Sqaishey the content creators snarking about HTT's building and decorating skills (or lack thereof) in said premiere chat, but it also notes that c!Stampy doesn't know about what happened to his bedroom...
At least, not until the following episode, where Stampy (of the SLW) remarks on the 'redesign' with disgust and spends the episode rebuilding his room (albeit to a newer style), and rightfully so. In fact, the thing Stampy seems more disgusted about is HTT's Lack of Imagination in his "redesign".
Episode 760, "Impossible Choice": The eponymous Sadistic Choice between Barnaby's life and the Lovely World, both of which are essentially Stampy's heart and soul. Or to put it another way, to sacrifice his longtime companion's life, or leave the community he'd built from the ground up for over a decade and never return. Stampy manages to haggle it down to just the Funland, though, but the Funland is still home to the majority of the builds in the World — if the World tour specials are anything to go by — and is nonetheless still a hard hit, especially when it's a promise to not just give up ownership, but to never step foot in the place again.
Episode 823, "Thanks For Watching". My. God. While the entire ending ends on an uplifting note, there's no denying that the story ending with Hit The Target winning and Stampy and his friends being forced to leave after years of making memories and making friends, which hits extremely hard.
