In Warcraft I, you rescue (and control) a knight named Lothar from a dungeon. In Warcraft II he has become the Alliance commander and dies a scripted death from a treacherous ambush at parley (later retconned as a fair duel as Orcs were made less evil). Similarly, killing Uther in Warcraft III can hit harder for those who used him in Warcraft II.
You can try to save Lothar with the God Mode cheat code, but this is unlikely to work since his ambush is the very first scripted event in the level, he and a few knights are surrounded by Ogres and Trolls, and the code - "it is a good day to die", with spaces - takes too long to type. (Allegedly it is possible, but you can't control Lothar and he just stays put).
In Warcraft III watching as Arthas is slowly corrupted and betrays his kingdom, it's especially sad when he's welcomed back to his kingdom as a hero only to kill his father (the king) and essentially dooming them all to a Zombie Apocalypse, and when he kills Uther, his former mentor and friend, to get a magical urn that contains his fathers ashes. And the reason that he's getting the urn is to transport the corpse of The Dragon from the first campaign so that he can resurrect him and bring about an invasion by the Burning Legion.
Arthas' corruption is hardly the only depressing thing about the human campaign. It's basically a story of the fall of Azeroth itself. Imagine ruling the Kingdom of Lordaeron in this story. The orcs are little more than a nuisance at this point, your son is on the way to becoming a great paladin under the training of one of the heroes of the second war, Uther Lightbringer, and things seem to be going great. There's news of a minor plague breaking out and a strange person is telling you to head west, but those are the least of your concerns, right?. Then you start hearing news the plague is not only starting to get out of hand, but that it's turning your people into horrifying undead abominations. You hear that your son has purged an entire city off the map and taken a small army to the north. Things only get worse, and you're forced to recall those troops to defend your kingdom. And despite being told the message successfully made it, those troops don't return. Sitting on the throne of a slowly dying kingdom, along with the apparent death of your son, with no possible way of recovering, you hear news that your son returned successful from his expedition. It's not much, but knowing SOME good news finally cropped up is enough to give you hope. But then, for some reason you can't understand, he utters the last words you ever hear, and kills you on your very throne, effectively pushing a great nation you spent 70 years of your life on over the brink of destruction...and somehow, it only gets worse.
There's a Dummied Out line from Arthas during Reign of Chaos Human Campaign's final stage:
The ending cinematic to the Frozen Throne expansion. Arthas trudges his way up to the titular object, his mind echoing with his fallen friends' bitter accusations from the previous game. He comes before the entity responsible for all of this, who urges him to set him free. Arthas shouts and smashes the Throne, and for a moment you might wonder if he's finally turned away from his path... but no. "Now, we are one." And the game ends with a slow pan away from Arthas on his new throne, triumphant... but alone atop the lifeless roof of the world, king of an endless frozen wasteland, while that mournful music plays...
The ending of the Orc campaign in Warcraft III will make anyone with an ounce of humanity shed Manly Tears when Grom kills Mannaroth and thereby frees the Orcs from demonic influence forever, and dies in the process.
Grom: The blood haze has lifted... The demon's fire has burnt out in my viens... I have freed myself....
Thrall: No old friend... You've freed us all.
The long pause before Thrall says the line above, combined with Thrall immediately letting a roar of sorrow clearly indicates that Thrall is fighting back tears. Despite being angry with Grom for once again falling under demonic control, Thrall still saw him as a brother.
The end of "A Destiny of Flame and Sorrow" after Illidan absorbs the Skull of Gul'dan and kills Tichondrius.
Malfurion: "Foul demon! What have you done with my brother?"
Illidan: "It is I brother. This is what I've become."
Tyrande: "Illidan, how could you?"
Illidan: "The leader of the demons is dead. And the forest will heal, in time."
Malfurion: "At the cost of your soul? You are no brother of mine. Begone from these lands and never step foot here again."