The opening where the Frost Giants attack Tønsberg, Norway. Especially the moment when a woman tries to protect her little daughter, but both get blasted by the Casket of Ancient Winters and freeze to death, with the woman screaming in terror.
In the deleted scene from before the coronation, we see Thor and Loki having a brotherly moment. If you see it before seeing the rest of the movie, it will just be heartwarming, but seeing it after you've seen the movie, after you see what Thor and Loki become, it becomes Heartbreaking in Hindsight because you just can't help but remember that, before all of this happens, they were brothers.
And it becomes a lot worse when Ragnarokreveals that this isn't the first time he had to do that. Odin has failed as a father again and it is visibly tearing him apart.
A blink-and-you'll-miss-it moment: Just after Odin banishes Thor, Loki turns to look at him with a mixture of disbelief, hurt, and anger. If you wanted proof that that wasn't part of his plan, there you have it.
During the same scene, when Odin tells Thor that he is "unworthy of the loved ones [he] betrayed," the camera cuts to Thor and Odin being in the foreground with Loki in the background between them, looking sadly up to Thor.
Loki discovering that he's a Frost Giant and Laufey's son. And when he's screaming about how it's obvious that Odin never loved him as much as Thor, Odin falls into the Odinsleep. Loki, realizing what has happened that he caused, looks horrified and slowly reaches out to hold Odin's hand before calling for the guards in panic.
From the Fridge Brilliance page, the first thing out of Loki's mouth when Odin walks in is "Am I cursed?" He's essentially figured out who he is and clearly wants desperately for it to be wrong, because he's a sorcerer, and if he's been cursed, then he should be able to fix it, but even that's denied to him. He's clinging on till that moment, but when Odin confirms it, the audience can practically see him lose it.
Odin accuses Loki of twisting his words during this scene, but you really don't need to do a lot of twisting to see how this conversation pushed the guy over the edge. Odin flat-out states that his plans to use Loki for political peace no longer matter so, by extension, Loki (mistakenly) believes he no longer matters. Loki is in tears the entire scene.
And you can hardly say that the "I am the monster parents tell their children about" line is unjustified, given that we've seen that Frost Giants were the monsters he and Thor were told about as children. It's basically the equivalent of a human child finding out they're actually the Bogeyman.
Wrong as it was, Odin did have good intentions for Loki. And now seeing how Loki reacts, he has failed all of his children. It's no wonder that Odin breaks down and falls into the Odinsleep.
Crosses over with Heartwarming, but Loki's panicked calling for help when Odin slips into the Odinsleep. Regardless of how upset Loki was with his father at that moment, he never wanted nor expected his father to be struck down.
Even harsher thanks to Ragnarok. Between this, Thor's banishment, and Hela's imprisonment, Odin is faced with the brutal realization that he has failed as a fatherthree whole times!
Thor trying and failing to lift Mjölnir halfway through the movie. He walks up, a big grin on his face, and grabs the hammer...but he can't pull it out. He tries for a few minutes before falling to his knees and screaming incoherently at the sky. It's hard to describe the exact look on his face; it's like a soldier coming home to his wife, looking forward to his favorite meal, and finding out she doesn't even remember him.
Not long after this, a downtrodden Thor is taken into custody without a fight by the S.H.I.E.L.D. agents, despite tearing through them minutes ago to reclaim Mjölnir.
The trefoil sign appears as if to say "You are not worthy" in what appears to be a small, quiet voice, making it even worse.
Heimdall is watching this from Asgard as this happens, and seems saddened with Thor's predicament.
Loki's cruel lie when he claims that Thor's mistakes and exile have caused Odin to die of grief, and now Frigga blames Thor and never wants to see him again. Thor pretty much hits the Despair Event Horizon at this point.
And after that, Thor asking Loki "Can I go home?" like a little kid.
Just the way Loki manipulates him here. He pretends to be sympathetic while telling him very hurtful things, e.g. how sorry he is that Odin wouldn't listen when Loki told him that Thor loves him. All the while Loki has a just enough cold demeanor that Thor must think that Loki blames him too for their father's death and just won't say it (not to mention that if Loki really wanted him back, he could arrange that as king), which eventually leads to Thor apologizing to Loki and accepting his exile.
Thor thanking Loki for coming to see him. We know that Loki's manipulating him, but he still sees him as his brother and loves him. Poor guy.
Thor talking to Loki through the Destroyer, begging him to stop his assault on the humans on his account, sounding so forlorn and confused as to why Loki hates him.
Thor: Brother, for whatever I have done to wrong you, whatever I have done to lead you to do this, I am sorry.
It becomes even sadder upon watching the deleted scenes because the music playing during Thor's confrontation with the Destroyer is a Dark Reprise of the music playing during a deleted scene from the beginning of Thor when Thor and Loki shared a brotherly moment.
Heck, on top of that, Thor tells Loki to kill him instead of continuing to attack his friends. The vain, greedy, cruel boy from the beginning of the film is willing to literally give up everything to save other people, and he doesn't want a fight when, in the beginning, he was eager to march into battle.
On the other hand, Thor doesn't realize how he and his friends had hurt Loki through the years.
Thor trying to reason with Loki before the climax. It's upsetting because of how relatable it is; most of us, if not all of us, have been in that situation where a friend or a family member has, for whatever reason, gone off the rails and any attempt at reasoning with them is to no avail.
You'll notice while Loki is fighting, Loki is going all-out but Thor is obviously holding back. Loki just assumes Thor is toying with him; Thor just doesn't want to hurt his little brother.
When Thor exclaims that he will not fight his brother, Loki tells him: "I'm not your brother, I never was." To Thor, who is still completely oblivious, it sounds as if Loki is only denying him. But there is something sad about the way Loki says this line, especially since he says "I'm not your brother," not "You're not my brother." He sounds less furious and more bitter, as if he's telling Thor what he believes is the hard truth, instead of disowning Thor to hurt or enrage him.
Thor just responds "Loki, this is madness!" since he has no idea what Loki is talking about, but to Loki it must seem as if Thor doesn't take him seriously, again. He's practically hissing the lines "Is it madness? Is it?!", making his break from reality/sanity so much more believable. If you look closely, there are tears pooling in Loki's eyes as he says this, and his breathing is ragged. He's trying not to completely break down before he fights his brother.
When Thor knocks Loki down with his lightning and approaches him with Mjolnir, Loki looks up at Thor and his expression shows that he expects Thor to kill him readily. It's heartbreaking to see how delusional Loki has become, because it is clear that Thor would never do that.
Thor says "Forgive me, Jane" before he swings the hammer down to destroy the Bifrost.
Loki in general. Sure, he's crazy and genocidal, but the crap that leads up to his messed-up-ness is really unfair.
What does Loki really want out of all his shenanigans? Love. He wants affection from his people and family, which he feels he's been denied all his life.
Check out the scene right before Loki lets go of Gungnir. He's crying.
Just listen to Loki while he's (more or less) begging Odin to understand his intentions. He sounds so young, you can hear the hurt little boy asking for reassurance from his father.
The music during this scene ("Letting Go") could not be fitting better. It is almost painful to listen to. You can feel the desperation by just listening to the piece separately.
It's pretty sad for Odin, too. His final words to Loki before Loki let go probably ring through his head constantly. If he had just said something more compassionate and understanding, perhaps Loki would have accepted him to some degree but instead, Odin's final words were all he needed to hear to sink into the abyss. Made only worse by what happens after, because he saw everything and knew that, in some way, he was always going to have to bear some of that blame.
Thor realizes what Loki intends to do a split second before it happens, but he can only watch helplessly as his little brother commits suicide right in front of him.
In a meta example, it's really sad that Loki spent all this time wallowing in the fact that he wasn't his father's favorite, so much so that he never even realized he was Thor's favorite. And if there's one thing that's pretty clear in the movie, it's that Thor genuinely loves his little brother.
Seeing Thor, Frigga, and Odin at the end when they think Loki is dead. Thor doesn't even seem to be able to talk to his mother about it, because Frigga has to ask Sif how Thor is after all of that.
The last line in the film: "She searches for you."