Usagi Tsukino / Sailor Moon, several times — she's been to Hell and back since becoming a sailor soldier (literally, she's died several times).
Makoto Kino / Sailor Jupiter lost her parents in a plane crash, no one wants to approach her because she has a manly physique. Her preclusion to beat up people causes others to be afraid of her, and she apparently has had her heart broken once (twice in the anime). Plus, as Sailor Jupiter, despite being the physically strongest scout, she is often the first to be knocked out.
Hotaru Tomoe / Sailor Saturn completely blows the rest of them out of the water though. Lost her mother when she was young, was mortally injured by her father's mad science, became the host of the third season's Big Bad, was ostracized by her peers for her healing powers and because the Big Bad occasionally made her hurt her friends against her will, became Delicate and Sickly because of the Big Bad's corruption of her body, was marked for death by Uranus and Neptune, was forced to eat her best friend's soul by her Superpowered Evil Side, nearly destroyed the world, then died to save it and only gets brought back as an infant. And this is only in the third season. Subsequent seasons are much better about Hotaru's treatment, but only because she hardly ever shows up at all. When she does come back, she gets about two scenes in StarS before getting stabbed in the back by her own adoptive parents as part of a poorly thought-out Batman Gambit that failed anyway. And the kid still wants nothing but friendship.
Setsuna Meioh / Sailor Pluto. Installed at the Time Gate by her father Chronos at a very young age, she's got a large but unknown number of years of loneliness under her belt. When the other scouts realized that she has to stay there watching life go by, it makes them cry. Sailor Moon is just Usagi with a costume on, but Sailor Pluto doesn't know how to just be Setsuna and has to make up a civilian persona. It's no wonder she's so guarded.
Chibi-Usa / Sailor Chibi Moon, especially in her first season (Sailor Moon R). She's a five-year-old kid who has the responsibility of restoring the future and is being chased by a team of villains who are out to kill her. In the S season, she returns for training, but longs to be able to return home because she feels like she doesn't belong. And of course, there's the episode where a possessed Hotaru (who became her best friend) steals her heart crystal while she's still awake and breathing.
Minako Aino / Sailor Venus could match Hotaru / Saturn in the Woobie department. Unlike Usagi, Ami, Rei and Makoto, whose lives were improved by finding True Companions in each other, Minako's life was made much harder, if not outright worse, as she spent a year having to take down the entire Dark Kingdom alone with no such support, knowing that she'd have to give up her biggest dreams, morals, happiness, and life, to protect someone she didn't even know. Also, she had to kill her one true love upon learning that he was a member of the Dark Kingdom. Even worse, she learned that she, a 13-year-old girl, was the leader of the Sailor Guardians, and that the kingdom she was supposed to lead the Guardians in protecting was destroyed in her previous lifetime, and it was her burden to ensure it doesn't happen again in this life. Her Woobie-ness is greater in the live-action series, with her having a terminal illness and a stressful idol life on top of her other burdens.
Naru. She’s Usagi's longtime best friend who really gets screwed over when Usagi becomes Sailor Moon just because she isn't one of the Guardians. If it's not enough that Usagi kind of abandons and forgets her in favor of her new teammates, Naru is the one who always gets attacked and has to be rescued like a damsel in distress. The one good thing about being around so many battles is that it allowed her to meet Nephrite, but right after their love starts leading him to redemption, he gets killed, leaving her heartbroken. That being said, even this has an upside, as it allowed her and Umino to eventually grow closer, giving her a second chance at love.
