One has to feel sorry for Primus. As the story progresses, he's shown to be a pretty nice guy, eventually letting Tristran travel with him as he heads up to find the topaz. He finds the star at an inn, and the topaz, and she prepares to give it to him, then Tristran uncovers the whole scheme to kill the star and the Lilim queen kills Primus in a rage
The final moments, starting with Tristran's death and the fact that Yvaine can never return home and the final lines: "They say that each night, when the duties of state permit, she climbs, on foot, and limps, alone, to the highest peak of the palace, where she stands for hour after hour, seeming not to notice the cold peak winds. She says nothing at all, but simply stares upward into the dark sky and watches, with sad eyes, the slow dance of the infinite stars."
The deaths of some of the princes are worse than others. Primus's murder just after talking to Yvaine might count. Poor man dies in a bathtub, not exactly the most dignified way to go—and with the object of his quest just on the other side of the room, too.
The poor Bishop who accidentally gets poisoned along with Tertius, and just after telling Primus he'd make a good king.
Septimus's death even has an element of tragedy to it. If you're willing to forgive his killing of Ferdy, his bullying of Bernard and his beating of Captain Shakespeare.
Particularly for Septimus might be the complete unfairness of the 'fight'. After doing so well against one witch you'd at least expect him to give a good accounting for himself but instead she cripples and kills him before he even gets close to her, then later makes pretty twisted use of his corpse.
And there's the fact that he gets killed minutes after being reunited with his long-lost sister. Who may be the one genuinely loved member of the family.
Much of Una's (or rather Princess Una's) life. First we quickly see that she and Tristan's father were very much in love. Only to learn that she was Ditchwater Sal's slave. She has a child which she can't raise. Then once Sal is dead, she's again made a slave to a witch for refusing to abandon Yvaine.