The game is rife with sad points considering it revolves around recruiting people before their deaths, even though some are more tragic than others. Then again, granting these people a new life and purpose sometimes becomes a Heartwarming Moment all in itself.
Jelanda's death. Especially in the remake, where you get to see her transform into a monster, and hear her screaming and begging for help. She is fourteen years old and has to go through that and then be mercy killed.
Given her screams, it can be surmised that her transformation is a painful one at that.
Yumei's recruitment story was often considered the saddest. She is a Half-Human Hybrid being hated on by her merfolk sisters because of her heritage. After her mother dies, she goes to search for her human father, and is rescued by a fisherman and his son named Fuyuki. She and Fuyuki discuss the legend of the Lapis Lazuli, which grants wishes. Fuyuki says he wants a huge fishing ship with it. Not long after, Yumei finds out that her father had many other wives and children (And possibly wouldn't want another) on top of the fact that he's dead. She runs off to commit suicide, but is stopped by Fuyuki, who had chased after her. She tells Fuyuki goodbye and swims off, her tear becoming a Lapis Lazuli. Remembering the legend, Fuyuki picks it up and says, "I wish... That Yumei could be with her parents!" As you can guess, the wish results in Yumei's death... but Lenneth still grants it by letting Yumei live on as an Einherjar. Several FAQs said "Play Yumei's recruitment scene... cry a whole lot."
Lorenta. Her recruitment scene starts with "And a happy birthday to you", but then Lezard comes up, tells her that her husband was taken captive...and feeds her husband Ghoul powder. (Remember what happened to Jelanda?) Well, her transformed husband then cracks Lorenta's spine in half, Lenneth apparently chops his head off...then recruits Lorenta, and you don't get to reunite her in Asgard. He did this specifically because a pair of lovers would have brought Lenneth in.
Celia is seen repeatedly for about five recruitment scenes. It's a huge Player Punch that she wasn't recruitable. (Of course, you couldn't possibly need another sword user, even at the point of the game you got her) and that she was left alone after all. The people whose recruitment scenes she appears on are her friends and members of a mercenary band. If what we see is right, then she lost all her friends and is forced to do battle with the 'villain' they were chasing alone. Worst part is, when she does get to the 'villain', he's merely an empty shell of armor whose soul is reaped by Lenneth before she can get even an explanation out of him, turning her whole quest, and the deaths of her friends, into a huge, epic failure that only served to further cement the misery she finds herself in. Would totally make for an awesome RPG though.
Shiho and Suo. Shiho is a songmaiden whose singing drives men berserk. She's hated for "leading men to their deaths" with her songs, and seen as a witch. When she refuses to sing one time, the army she worked for was killed, and Suo came to kill her. She even tells Suo to kill her, and he raises his sword. However, he can't bring himself to do it, so he instead takes her in his arms and walks away. Instead, Suo's commander kills her because she's too dangerous to let live. This also helps lead Suo up to his HeelFace Turn, when he stops for an instant after he finds himself raising swords at women and children. At least you can send Shiho and Suo up to Asgard and you can see a scene of them together.
Watching Lenneth crying uncontrollably in grief after she regains her memories will hit you pretty hard, considering how cold and stoic she had been for the entire rest of the game.
Some of the cries the einherjar give out if they fall in battle can really hit you where it hurts. Thank goodness for Union Plumes/Invoke Feather.
Hel, the OST is so darn sad, honorable mentions go to: