In Triptych, after revealing the Secret, Applejack casts aside her hat, her mane-ties, and even her accent. This pony, who loves her family more than anything else, is making it horrifyingly clear that she believes her own actions have forever cast her out of the Apple Clan. For added punch, when Discord tries to be "nice" and give her back her hat in chapter 53, she immediately flings it off of her head, to Discord's visible confusion.
Twilight's confrontation with Clear Coordinator in chapter 36 of Triptych. Yes, seeing Coordinator's attempt to blackmail Twilight blow up in his face is an Awesome Moment, but the reason it failed? Because Twilight has been so traumatized by her transformation into an alicorn that she would almost welcome her mistakes being published, welcome other ponies fearing her, because then at least they would stop worshipping her.
Chapter 40 of Triptych:
We learn how Gentle Arrival's wife died; Death by Childbirth, in the most sudden, spontaneous and ghastly way. Not that it makes up for what he went on to do.
We learn that she is Gentle Arrival's daughter, and the horrible things he has put her through all because she had the misfortune of not only losing her mother before birth, but because she was born an earth pony.
Fluttershy and Pinkie Pie learn that not only are they legitimately the "freaks" that their bullies often mocked them as being, but they were made this way by the one pony they loved and trusted most in all of Equestria, their "first friend", Gentle Arrival.
In Chapter 42, Dr. Gentle says this to Pinkie after learning that she won't help him with the Great Work:
They all know what you are now, Pinkamena. They know that you're the freak you always feared you were, the monstrosity which your father recognized on sight. He was right about you, don't you know that? He was always right, to reject you, to hate you... because nopony could or should ever love a hybrid. And so nopony ever will again.
And the reason he said it? Not because he believed it, not because he actually hates her, but simply because he knows that as long as she feels hopeless, her Pinkie powers won't work and he can keep her locked up long enough to make his getaway. He broke Pinkie Pie simply because it might be helpful.
Chapter 43 of Triptych, "Sotto In Su", is an entire chapter written from Her perspective, covering nothing but Her thoughts. And it is utterly heartwrenching.
Chapter 44 of Triptych continues the water-works with three emotionally devastated ponies. Fluttershy and Pinkie are, of course, the worst, with Fluttershy admitting that she's been contemplating suicide.
In Chapter 55, we finally get to see the fourteen words Cadance sent in response to Twilight's question about her ascension.
Cadance's fieldwriting was just barely recognizable. Jagged letters slashed their way across the surface, carved dark truth into the world. Fourteen words which told Twilight nothing even as they answered everything. Words that nopony like Gentle Arrival could ever be allowed to see.
they all died
they chose me to live and they all died
From Other Stories:
The fragility of memory is a general theme for much of the Continuum. Over the course of several stories, it's become clear that many of Rainbow's actions are motivated by a fear of being forgotten: it drives her to perform ever-more spectacular stunts, act in memorable ways, and has led to her trying to write the memoirs of the group's adventures just so there'll be a record of what they all did. In her chapter for Sick Little Ponies (And One Dragon), she realizes she's not willing to wait fourteen moons for the next open Wonderbolts practical tryout because after fourteen moons of missions, she, and all of her friends, could be dead. (And this is followed by immediately burying the thought, as having it during a mission is the best way to make it into a prediction.) It's also why she falls for the scam in Twilight Sparkle Vs. The Equestrian Cutie Mark Constellation Registry: putting the group's marks in the night sky is one more way of trying to make sure ponies will remember them.
Along the same lines, Rarity's Heroic BSoD in Harmartia. After learning about the original group of Bearers, she realizes that just as the original six Bearers have been forgotten, their stories distorted out of all recognition, so too will she and her friends be.
Rarity: My faith is gone, Spike. I have nothing left I can believe in, for that is what this mission has taken from me. I have no faith, and no hope for the persistence of memory. Stories may last, but they will become distorted over time. Will I be nothing more than a character in a play to be performed in front of every schoolhouse on Return Day? How will the audience be made to see me? Pompous, egotistical, caring only whether her hooves stay clean, with no mention of my actual phobia. No faith in divinity, or memory, or friends..."
Celestia and Luna aren't exactly immune: their original group of Bearers have been lost to history, and it's been suggested that some of that was deliberate — but at least some of the rest is centuries of mythology building up around Celestia while Luna was in abeyance and the elder was helpless to stop it. They are the last living record of what truly happened during the original battle against Discord, and it's an account most ponies would never accept or believe after more a millennium of lies led to ponies creating their own truths. Celestia needs Luna for a huge number of reasons, and one of the biggest is so she won't be left drifting alone across an ocean of time with nopony left who remembers.
Two speeches from Twilight in 100% Move=50% Fire, with the first emerging when she finally breaks down and tells the others why she's been stalling on cleaning out her old Canterlot Archives rooms. "Because when I finally screw it up with everypony here, I won't have anywhere to go back to!"
Which is immediately followed by this:
"I don't know how to be friends," Twilight whispered into Pinkie's curly mane. "I tell myself I'm learning lessons. I write letters. But I still don't know. I don't know if I'm doing things right most of the time, or if I'm getting things wrong. I try to follow what I've learned, I try to act — a little more like all of you — and hope some of it makes a difference. But I don't know and I don't hardly ever understand, not enough. And sooner or later, I'm going to do something stupid or say the wrong thing or both, and — it'll be gone. It'll all be gone. Like I just woke up after the best dream of my life, only I remembered all of it and could never have it back, I can't even return here any more and pretend. I'm going to screw up and I won't have a home, any home, I'll just remember having one and it'll be worse than anything ever, worse than Nightmare..."
It can be worse when you realize Fluttershy is carrying the burden of all those deaths. She counts them, has memorized every single name — and then we get the reason why:
"I keep count... because it feels like every time takes something away from me, and I don't know how much I have to give any more... I remember their names because..."
The tears were falling faster, the fabric of the couch becoming waterstained — no, old stains taking on still more salt.
"...when my part in the cycle ends... when I go to the shadowlands... somepony will ask me why. On every single name. And I'll have to remember every last one, explain why it was the only option left. And then maybe I'll see them... and if they don't hate me... as much I hate mys —"
Which is the moment when a fugue-state Flitter flees the cottage, not remembering anything else until she's a fifth of the way to Canterlot.
There's also the particularly sad comment revealing that the cat Carnie was based on has also since died
Triptych makes it clear that in this continuity, Pinkie was an abused child. The Flashback dream sequences in Chapters 8 and 17 aren't always easy to read.
Blessing is a near-constant tearjerker, and really hits the Fridge Horror element hard. Luna helps alleviate the tone, but that last line...
It's my fault, Princess... I didn't have enough faith...
Plus, the revelation that Celestia in the past has considered attempting suicide.
And this exchange between Celestia and Princess Luna, in the immediate aftermath.
Princess Luna: Do you still try?
Celestia: To what?
Princess Luna: To bless. To make a real effort and hope that somehow, just that once, a blessing will truly occur.
Celestia: No. I gave up... a long time ago, Luna. It never happened. It never would.
Princess Luna: In my case...last week.
Lazy River has plenty of tearjerker moments. The way Applejack attempts to hurt Pinkie Pie is particularly saddening, as it hits home just how upset and shaken she is. Especially after hearing about what a hard time Pinkie Pie's had in Ponyville.
Pinkie Pie snapping, and revealing to the audience the truth:
They're dead! They're dead Applejack, they've been dead for moons! You've been talking to yourself!
A more minor example from the same story, but one with more long-term impact: Applejack's hat originally belonged to her father and was her shiva token during the mourning period. She's still carrying it.
A small but poignant one that really sinks in after you step away from the fic for Lazy River: Pinkie Pie's status as an Un-Sorcerer means she won't get any of the benefits from the shiva ritual that'll be performed when her foster parents, the Cakes, die. Other Earth Ponies will have the ability to get closure by listening to the echoes of their lost ones' magic fading away, but Pinkie won't get that. Worse, because nopony knows about her "deaf-mute" status, she'll be expected to show up at the shiva ritual, all while not actually feeling anything. So, for her, the shiva ritual is just going to make things worse.
Building on from that; the Cakes' biological children are a Pegasus and a Unicorn. Like Pinkie, they'll get absolutely nothing from the shiva ritual. Worse, because of The Secret, the Earth Ponies attending will be deliberately excluding them from the deeper aspects of the ritual anyway.
The Downer Ending for Stupid Direction-Face is pretty poignant in its own, but the epilogue may contain the worst moment. In part, Rainbow spent the day guiding Garble with the intent of shielding Spike from the chance of any confrontation, and wound up learning some things about dragon culture in the process. How is she supposed to tell him that dragons consider it perfectly normal for parents & offspring to kill each other over treasure hoards?
And by the end of the story, Rainbow's told Twilight about everything which happened, leaving two ponies carrying the burden of that secret.
The Reveal in Season's Bleatings: Rainbow Dash is being a huge grouch because the events of the past year have forced her to realise that she can't ever go home for the holidays, because her role as Bearer of Loyalty means that she has to be close by in case of emergency. She just wants to see her family, but her loyalty to her friends means she can't.
The moment in Goosed! where Fluttershy talks about how the world has moved on since the tragic loss of the Crystal Geese, and that it might ultimately be better if these restored survivors were also wiped out again. She's in tears throughout and the sight is enough to make Spike and the Bearers, despite their hatred of the things, comfort her and assure her that they'll find a non-violent way to get them out of town.
As revealed in Scootalift, some of the residents of Ponyville — itself something of a "town of freaks" in Equestria — can be incredibly cruel to Snowflake. His wings were shattered during birth, leaving them permanently crippled, and he agonizingly built up his body so he'd have some ability to fly at all. But some only see that build along with his wings, and so a number constantly mock and sneer at him behind his back. Perhaps the darkest moment in the story comes from when he takes Scootaloo to dinner with him, so she can listen to what the other ponies say as they pass by — all so he can hammer home his point that Scootaloo really doesn't want to go through the training he did and wind up the same body type and fate alike. And he internally notes that the way he's treated in Ponyville is still better than how it was in his hometown of Las Pegasus...
Unnoticed... just, where do we start with this one?
The fact that at this very early point on the timeline (autumn of Season 1, shortly after the Running), Spike is regarded with so much distrust and disdain by so very many ponies, to the point that a significant part of his reason for crushing on Rarity may be because she treats him like a pony, instead of trying to pretend he doesn't exist? (But it gets better eventually, and the events of this story are ultimately implied to be one of the reasons for that.)
How about the fact that the mare Spike is sent to recover an overdue book from turns out to be dead?
Or the way all her possessions are just being callously sold off?
Maybe the fact that absolutely nopony turns out to know anything about her, to the point even Mayor Mare is willing to help Spike because she feels so incredibly guilty that she never once spoke to her?
If that doesn't do it for you, then The Reveal that the infamous cross-eyed pegasus? In this continuity, her name is Dulcinea: Dulci for short. Nopony ever calls her anything other than "Derpy", though. Because they don't think she's anything more than a cross-eyed, bungling idiot, and so that makes it fine to laugh about her behind her back.
Pretty much the entirety of Unstable Sales. It focuses on Apple Bloom being confronted by how much the Crusaders are disliked by the other ponies of Ponyville, because three years of failures which lead into property damage, (generally unintentional) fraud, and ongoing disasters caused by three fillies who refuse to learn or listen aren't going to endear them to the adults. And this time, she can't deny it anymore, not while sitting at the town market among the literal debris of her mistakes. But it's the ending which serves as the kick to the ribs. Apple Bloom finally sees the Crusade for the Sunk Cost Fallacy and fool's errand that it is — and quits. But Scootaloo, too stubborn for her own good, refuses to end it, and instead asks how Apple Bloom can be her friend if she's not a Crusader, breaking their friendship on the spot and leaving Sweetie Belle torn between the two of them, uncertain of which way to go and knowing that no matter who she chooses, she's losing the other. It's one of the moments which breaks the Continuum into its own Alternate Universe: Nothing Is the Same Anymore, and at least for Apple Bloom, the Crusade is over.
"I'm not mad at you, Twilight. The only pony I'm mad at is... no, that's gonna be a lie. I hate that Ms. Asterismo, and I don't think I'm going to head into Canterlot for a while, just in case I find myself flying through the Tangle without really meaning to. But I'm mostly mad at me. Because I didn't think about what I was reading. Because I fell for it. Because I'm..." and the drop into whisper, the final word too soft to make out. The sleek body flopped to one side, facing away from Twilight, with the resulting wing compression ignored.
"Rainbow, talk to me... please..."
And in a burst of outwards-facing rage, "...stupid, all right? I'm stupid. I'm the dumbest pony in the group. You know it, I'm just barely smart enough to know it, everypony knows —"
A Mark Of Appeal has more than a few. It starts with the tragedy of Joyous' life: unable to control her talent, no chance for any kind of safe interaction with other ponies, neglected by her parents (which contributed to that talent and mark to begin with) — and then it turns out her parents suffer from the same condition and that's why the neglect began at all. Celestia, stressed and wearied by their efforts to help, winds up slipping and goes to Joyous while the pegasus is bathing with Poison Joke cure (which doesn't work), telling her more about her parents and family than we've ever heard in the 'verse to date — then wonders if she was trying to make Joyous see her as normal, or just pity her. And shortly after that, Luna has to go on an all-out verbal assault against her own sister, dredging up horrors from the past — things Celestia did — in order to make her understand what a hypocrite the elder is being just because Luna "called on" Star Swirl in order to save a life: something which was still done too late to keep Chocolate Bear from becoming infected.
Chapter 4 in The Remainders Of The Day provides another reason for Twilight's stockpiling of books, and it's a literal case of Death of the Author. She recognizes that in many cases, the book is all that remains of the pony. There's always one final copy sitting in the Canterlot Archives, but it may only be taken down from the shelves for dusting — and so every volume she pulls from the library removes another chance, putting those ponies that much closer to being forgotten forever. (This open confession to Rainbow shakes the pegasus up enough that her friend winds up buying most of the sale's Adventure section just to give those books a new home, along with potentially introducing Rainbow to the wonders of Thaumic Fiction.) Anyone who writes may have a hard time with that one, and readers are reminded that far less than one percent of everything ever written is still being read today. Every lost book brings the author that much closer to the final grave.
It's hard to pick out one particular moment in The Night Before Nightmare, because the entire story is just incredibly sad. Still, perhaps the most heartwrenching is the scene where Celestia goes to see Twilight, who is refusing not only to go out and enjoy Nightmare Night herself, but also to let Spike do the same. As Celestia's mental dialogue laments, this is the only potential Element Bearer she's ever found in a thousand years of searching, and yet, try as she might to hope that Twilight can change, all evidence suggests that Twilight will be absolutely useless for the purpose of defeating Nightmare Moon.
The scene in Horsefeathers where Luna and Celestia fight, with Luna revealing that she feels stifled and hemmed in by her sister, accusing Celestia outright of trying to marginalize her and render her nothing but a glorified ornament to her own reign.
This is then followed by the scene where Luna is shown how her reviews, combined with Equestrian herd instinct, have ruined the livelihood of the actors who played in shows Luna didn't like. It's a powerful one-two punch of Luna's guilt at what she's done, and her despair at never being allowed to speak her own mind about anything again.
Though the impact is lessened when you remember that Luna could have written under a pseudonym and avoided this entire mess.
The scene in A Duet For Land And Sky, the first Post-Triptych story, where Fluttershy explains what happened with Gentle Arrival, everything he did, and what his 'First Friend' was really like. Snowflake doesn't take it well, to say the least.