Hollis' death. Worse, with the exception of the sadistic, Jerkass fuckhead in charge of the beating, the rest of the gang are absolutely horrified and only wanted to rough him up, not kill him - they're genuinely sorry about it.
The children showing up to trick-or-treat at Hollis' house only to discover his dead body also proves to be very upsetting.
The scene where the newsstand guy, in face of certain death, still attempts to protect the kid he's been arguing with for the majority of the comic. Even worse: they had just learned that they had the same name (the news vendor is Bernard, the kid is Bernie) and opened up a bit to each other about their families.
A retroactive one: "I'm still me Joe. Pull over."
Rorschach's joke when talking about the Comedian.
Rorschach: He saw the true face of the 20th century and chose to become a reflection, a parody of it. No one else saw the joke, that's why he was lonely. Heard a joke once: Man goes to doctor. Says he's depressed. Says life seems harsh and cruel. Says he feels all alone in a threatening world where what lies ahead is vague and uncertain. Doctor says "Treatment is simple. Great clown Pagliacci is in town tonight. Go and see him. That should pick you up." Man bursts into tears. Says "But, doctor... I am Pagliacci." Good joke. Everybody laugh. Roll on snare drum. Curtains. Fade to black.
Edgar Jacobi, who has retired from being Moloch, and now an old man, talking to Rorschach, who has just pulled a bottle of phony pills from one of the kitchen drawers:
Edgar: Look, I heard maybe it didn't work, but when you're desperate you'll try anything. Please don't confiscate it. I have cancer.
Rorschach: Cancer? What kind cancer?
Edgar: Heh. Well, now, you know that kind of cancer that you eventually get better from?
Edgar's even expression dissolves into a look of hopelessness
The look on Rorschach's face when he confronts his landlady, calling her a whore, and she begs him not to say that in front of her kids... you can almost hear his memories of the same thing happening to him when he was a kid.
After Rorschach and Nite Owl left, the landlady was last seeing on her knees crying. Likely out of shame for how she almost got herself killed by lying on the news that Rorschach tried to rape her to paint herself as a "victim".
As Rorschach and Nite Owl confront Ozymandias, the scene is interspliced with a scene of two people arguing, and ordinary people from the street coming in to stop them hurting each other. Then Ozymandias' plan is revealed and all of them die regardless.
The two people arguing are a lesbian couple who seem to have martial problems and opposing feminism views. Though their bodies are seen huddled together, implying they've embraced each other in their last moment.
Rorschach's last few panels, when he rips off his mask and reveals that Veidt's mass murder of New Yorkers has made even this notoriously emotionally-dead man weep. That, or he knows that he can't help himself from going back and revealing the truth, and Doctor Manhattan can and will kill him to stop it, and he just needs for it to be over while he can hold his nerve in the face of the inescapable.
The last time we see Sally Jupiter, she's pressing a kiss to Eddie's spot on the old Minutemen photo, and sobbing as she does so.
After the disastrous Crime Busters meeting, a flashback shows Laurie meeting and talking with Eddie afterwards, unaware of his Attempted Rape of her mother or the fact that he is her biological father. And during their talk Eddie is perfectly nice to Laurie, chatting with her about how she takes after her mother. In hindsight it could be seen as a genuine attempt by Eddie to bond with his daughter. When Sally shows up and shoos Laurie away from him, Laurie notes how sad he seems.
Eddie: Christ, we were just talking! Can't a guy talk to his— Y'know, his old friend's daughter? I mean, what do you think I am?
Hits depressingly in the ending where Laurie confronts her mother regarding Blake being her father and forgives her for never telling her. Keep in mind that throughout the story, Laurie had been very hateful towards her mother.
The Comedian is most definitely not a good person; an unrepentant, amoral murderer and rapist. What holds him back from being a complete monster though is the rare moments you see he has dimensions as a human being. His desire to bond with Laurie, his twisted affection for Sally, and the moment where he cries to Moloch when he discovers the depth of Adrian's plan. It's implied he went there because he had no one else to talk to. In that moment, his whole philosophy of treating the world as one big joke comes crumbling down.
Comedian: Oh, god, I can't believe it. I can't believe anybody would do that. I can't... I can't believe... (breaks down into a full-on ugly cry) Oh, Jesus, look at me, I'm cryin'. You don't know. You don't know what's happening. On that island they got writers, scientists, artists, and what they're doing... I mean, I done some bad things. I did bad things towomen. I shot kids! In 'Nam I shot kids... But I never did anything like, like... (hugs Moloch's statue of the Virgin Mary) Oh, mother. Oh, forgive me. Forgive me, forgive me, forgive me... I mean, what's funny? What's so goddamned funny? I don't get it. Somebodyexplainit to me.
The comments from Veidt's Vietnamese servants on why they consider him a good employer in the interview become this when you remember that Veidt kills them for knowing about his plans. No, he doesn't do drugs or abuse women, but on the other hand...
Most of the final chapter. In particular, Adrian's look of doubt as shown above, when Doctor Manhattan tells him that "nothing ever ends". This man committed great atrocities and has forever condemned himself in an effort to save mankind and now, in spite of all his confidence he fears it has been All for Nothing.
Adrian's genetically modified lynx Bubastis is one of the only living creatures that he shows genuine affection for. And then he ends up incinerating her in a trap meant for Dr. Manhattan that doesn't even slow him down.
Adrian: Bubastis... forgive me...
Dan learning from a topknot punk that Hollis Mason was murdered and his anger at the news driving him to nearly beating the thug to death before realizing what he's doing.
When Rorschach crosses the Despair Event Horizon. The audio indicates that he's actually crying under the mask. This has to be a Moment of Awesome for Jackie Earl Haley's performance — you can see him crying under the mask and his face contorting in emotional agony. To be able to relay that through a mask designed to hide your face. Just wow.
Jon Ostermann's "death". He gets better, but still. The narration, the music... everything came together perfectly. The most heart-wrenching detail has got to be the moment when the door of the test chamber automatically shuts and Jon peeks through the glass smiling, as if for a second he was playfully thinking that it's just a little blunder and his colleagues will open it and get him out without problems, only to be quickly told he's doomed and that there's nothing his horrified and devastated friends outside can do to stop the machine.
Jon: I feel fear, for the last time.
"Sorry, girl." Even worse in the French dub, where it's "Pardonne-moi, ma belle."
Mothman being taken to the insane asylum during the opening credits, especially combined with the music.
Also from the opening credits, the atomic bomb being dropped on Hiroshima, and the National Guard opening fire on protesting students, both based on very real events from history.
Bob Dylan's original recording of "The Times, They Are 'A-Changin'" playing over the opening credits. Once a cheap-sounding record of just a guy with an acoustic guitar and a harmonica suddenly becomes incredibly haunting when matched to that montage.
The event that pushed Rorschach into what he is. Like in the comic, Rorschach goes to find the little girl Blaire Roche only to learn her kidnapper killed her and fed her to his dogs but in the movie, they made it more heartbreaking and a bit more Nightmare Fuel like. In the comic, Rorschach chains the killer to a stove, sets the building on fire, and leaves him with a hacksaw and a choice: cut his hand off and escape, or stay there and die (he chooses the latter). Here, after chaining the killer to the stove, Rorschach grabs a meat cleaver and chops into the man's skull.Repeatedly. What makes it more heartbreaking is seeing Rorschach is obviously unable to cope with the fact someone hurt someone as innocent as a little girl and threw him into what he is now: A Sociopathic Hero who views the world as a Crapsack World who already was enduring a Sanity Slippage.
Look at his mask too, the blotches form what looks like tears and his breathing is from panicking to Laughing Mad.
Rorschach's death scene. One of the saddest moments in the film. "Suddenly you discover humanity. Convenient. If you had cared from the start, none of this would've happened."
"...Well what are you waiting for? Do it. DO IT!!"
Even worse, unlike the comic, Dan is there to witness Rorschach's death, the sight of which causes him to collapse in despair, screaming a Big "NO!".
For added Tear Jerker, the face off between Rorschach and Dr. Manhattan lasts longer, and Doc has a rather unhappy expression during their final exchange. Now, remember what Adrian said in regards to Jon's apparent lack of emotion, how his "subtle facial twitches" actually translate to him being in a sobbing state, and rewatch him killing Rorschach with that in mind. Yeah.