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 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. Note this is especially notable [in the comic, as the two characters only have mere cameos in two of the three cuts.
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 eachother 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.
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 being a "whore" and 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 dimension 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.
The comments from Veidt's Vietnamese servants 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.
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!".
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 Director's Cut has the death of Hollis Mason, which include him putting up more of a fight than in the comic, and intercutting the punches to flashbacks of busting up badguys.
Then you see the left hook that floored Captain Axis. Hope Spot much?
"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.
Edgar Jacobi, who has retired from being Moloch, and now an old man, talking to Rorschach, who has just pulled a bottle of pills from one of the kitchen drawers:
Edgar: Please... don't confiscate that. I'm trying anything. I .. have cancer.
Rorschach: What kind of cancer?
Edgar: You know the kind you eventually get better from? (he smiles, which turns bitter after a moment) That ain't the kind I got...
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. Unlike the comic where Rorschach simply ties the murder up and douses gasoline on him, Rorscach instead hand cuffs the murderer to the burner where he found little Blaire's clothing and slams a cleaver on his head. 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 blotchs form what looks like tears and his breathing is from panicking to Laughing Mad.