ISSUE #11. It will absolutely blindside and destroy you, as many fans will warn you. What happens? Well, two major characters die. Okay, that's been expected from the off. What isn't expected is that Laura, who actually turns out to be Persephone, would be suddenly and abruptly killed off without warning, along with her parents, and worst of all by Ananke. Inanna, her buddy, is also killed by Baphomet. You may want to put the book down and go read something a little Lighter and Softer after finishing that issue.
Laura's last thoughts? "This is worth it."
Baal confesses that he really did love Inanna.
Issue #13 where we learn about Tara.
As Kieron himself pointed out, Tara's narration is in the form of her suicide note... but Ananke burned it, so nobody in-universe will ever know about Tara the way she wanted them to.
Minerva's parents planning her 13th birthday, possibly the last one she'll have... and it's a day full of appearances and moneymaking for them.
And despite that, she still wants to make sure they escape Valhalla with her, Morrigan, and Baphomet, only to be forced to leave them behind.
Persephone's flashback to her parents' deaths. And what the panels look like when the goddess is singing isn't much better. The only words are "Persephone is in hell" as we see several people in the crowd cry, collapse in grief, or shatter the glass they're holding.
In issue #26 Persephone breaks up with Baal, nothing that she can't be expected to fix him and that she'll just keep hurting him an at worst drag him down with her.
Issue #27 is just full of them. To start with, Minerva and Baal have their death dates marked on the calendar.
Persephone gets Baphomet to create a mockup of her family to have Christmas dinner with.
Minerva's started drinking.
We find out Baphomet told Morrigan about his sleeping with Persephone and in retaliation, she scratched his face badly and gave him black eye. He also flat out leaves a party the second he sees Persephone there.
We finally find out who Woden is — the estranged son of a Pantheon researcher who never really cared about the Pantheon before his ascension. Woden's clearly touchy about it and his father just seems depressed. Though, the reveal in Issue #33 subverts this.
Dio's whole storyline in #29. He sits in the dark and endures Morrigan's anger, Babd's anger, and Annie's scolding just to see Baph, and Baph won't let him help.
We find out Baphomet shouted at Morrigan for a week upon his ascension, thinking he was going to end up more like the Valkyries, not have the rest of his life thrown away after two years. She brushed off the issue. Baph had more problems with the two year thing than we ever knew, and now it seems to have coalesced into apathetic acceptance.
Amaterasu gets herself killed by saying all the wrong things to Sakhmet. Meanwhile, Woden may have killed Dio for his own ends, but for all intents and purposes, he's dead.
Poor, poor Mimir/Jon Blake. He was used by his own father so David could pretend to be a god and all David seems to care about is that he won't be able to keep playing "Woden" once the time limit is up.
Issue #42 as well - Despite all the things Woden did to Mimir, he still loves his father enough to warn him to get away from Ananke.
Persephone reveals why she's in Hell: it's not just that her family was murdered, she thinks that she was the cause of their murders because she wanted to become a god so bad she would have given anything for it... and she became a god and her family were then murdered, therefore their deaths were her fault.
Issue 36 reveals that Baal is forced to murder children to prevent the Great Darkness from killing those close to him.
After being reunited with the disembodied heads of Lucifer and Inanna, Inanna asks Laura where Baal is and if he's all right. The look on Laura's face as she wrestles with how to tell Inanna that Baal had been killing and sacrificing children on Ananke's orders is absolutely heartbreaking.
Baphomet's death. He has tears streaming down his face right before he sacrifices himself to revive Dionysus.
Minerva in issue #43. Both at hearing the story of her and her sister, and when she realises that they have found a way to break the cycle.
The reveal that Cassandra died at 65 from an undisclosed condition (possibly cancer) in the Distant Finale. It's such a heartbreakingly real way for a character to die in a series that is filled with exploding heads.
From the 1831 Special:
1831!Woden recounting her attempts to bear children, with each statement ending with how she awoke one morning to find a corpse in a crib.
From the 1923 special:
Lucifer is the first to die here and has his head pretty much exploded. He's actually a pretty nice guy despite being Lucifer.
From the 1373 Special:
Unlike the confident, rebellious Lucifers of other incarnations, this one is an Iron Woobie: born to a mother who died of plague, then brought up by a father who abused her to the point that she already considered herself to be an Antichrist before she even met Ananke.
Her apotheosis ends with her cowering in a corner—a far cry from the confident or curious poses of the others shown before.