"Brocket Hall". Pretty much the entirety of the episode.
In a single episode of Series 2, Dash, Victoria's beloved dog. drops dead, and it is strongly hinted that Lord M himself meets his demise, after it being revealed earlier that he is dying. Victoria's reaction to both is heartbreaking.
Nancy's death. She had just discovered that she was pregnant and she and Charles were about to start their life together, only for her to die from cholera.
Bertie starts sliding into self-loathing and depression due to his struggles with what seems to be Dyslexia, compounded by his father basically calling him stupid using Phrenology. While Bertie wearing a pot on his head during the Georgian costume ball starts out funny, it quickly swerves into Tear-Jerker territory when he explains that he's using it to reshape his brain to make himself more rational.