The Cigar Girl's truly terrified "Not from him!" (Regarding Bond promising to protect her) just before she kills herself. How much of a bastard is Renard that this Femme Fatale is petrified of having failed to carry out his orders?
In the backstory, Elektra's father not paying the $5 million ransom for her on M's advice. It wound up being her Start of Darkness. M also expresses regret over leaving Elekta with Renard. "It went against every instinct I have as a mother." A lot of her reactions can boil down to My God, What Have I Done?.
Bond is visibly uncomfortable and quickly changes the subject when Elektra asks him if he's ever lost someone close to him. It's heavily implied that he's thinking about Tracy.
For car lovers, Bond's BMW Z8 being cut in half by a buzzsaw helicopter.
What's worse is Bond saying afterwards "Q's not going to like this" non-ironically. His old friend just retired and he couldn't bring this one car, back and intact.
In a tragic Real Life case of Retirony, Desmond Llewlyn, perhaps the best-remembered Q in the entire franchise, was killed in a car accident shortly after the film's release. The World Is Not Enough marks his official retirement of the role after 36 years with Q passing the torch onto his replacement "R", played by John Cleese (who later becomes "Q" in Die Another Day). Home media releases featured a very touching clip montage of Llewelyn as Q throughout the franchise set to "Nobody Does It Better" from The Spy Who Loved Me to honor him.