The Mighty Thor/Tear Jerker

"Thor: You are not as wicked as they say. Kid!Loki: I would have to try terribly hard to be that bad."
 * An offhand comment by Kid Loki in response to one of Thor's:

"Loki: You are not my brother. My brother was--was-- Tanarus: Was who...little brother? Loki: Kill you. I will when I--when I figure all of this out."
 * It's a tearjerker because it's Kid Loki acknowledging his earlier statement--that the deeds of his past self were more than worthy of execution. He used to be a horrible person and knows it, and in that context the line is heartbreaking.
 * A large man materializes in town, and starts to tear the place up. The Mighty Thor tries to stop him, but the seemingly mindless berserker is just as strong as he is, and proceeds to kick the crap out out of him. Thor, in desperation to protect the innocent bystanders, powers up and hits him so hard it kills him. Before he has a chance to celebrate,.
 * After he helps kid!Loki in his plans to help Thor kill the Serpent in Fear Itself, Volstagg returns home. Once home, he "retells" the events of the battle, where he beats the Serpent and everything is glorious once again. But through-out, he covers up the more horrible details of the war for his children, so that they aren't afraid. However, after the children are put to bed he tells his wife "The world is not always good. I tell the stories to make them feel better. I tell the stories to make myself feel better too. They are children. They are innocents, and innocents I wish them to remain. At least a little while longer. I wish all children could remain so." It's that last sentence that gets this troper every time. Volstagg has been through war after war. He has been forced to help kill Thor for the greater good. And he can't help but worry about kid!Loki, if only because he's a child too. A scared child who he realizes cannot hold out forever.
 * Loki, like everyone else, cannot remember Thor following his death in battle against the Serpent. However, unlike everyone else, he knows Tanarus is not the god of thunder, or his brother...and he's upset because he can't remember who is.

"Wasp: Should we move his hammer? Hulk maybe... Hulk: Can't move it. Can't even lift it. Wasp: Why not? Hulk: Becuase I'm not Thor..."
 * Thankfully an attack from Kelda (accidentally?) jogged his memory.
 * But then in the next issue, it's clearly getting more and more painful for him to hear people call Tanarus his brother. By the end of the issue, he gets  to remember, and also manages to find Mjolnir.
 * Technically this was in Avengers Earths Mightiest Heroes cartoon and not from a Thor comic, but I still think it counts.

"Loki: To achieve this, my very self is mortgaged to wicked creatures time and time over. I have freed one of Asgard's greatest enemies and facilitated the death of our greatest protector. My people will still loathe me, and the grave holds the one who protected me. I do not know 'what now.' I think if I thought of it, I would weep for me. But that would be awfully self-centered wouldn't it?"
 * In Journey into the Mystery #629, Loki has just finished executing a brilliant plan to ensure the Serpent's defeat, and Thor's fall. Note that we're talking about Kid!Loki, who loves his brother and does not want to harm him. To do this, he required assistance from many wretched demons and some of Asgard's enemies. The dead Tyr, the Asgardian god of war, asks Kid!Loki "what now".

"Beta Ray Bill: My home! My home! What have they done to you?"
 * During Walter Simonson's run, Beta Ray Bill showed up. In his backstory, he revealed that his race fled their home galaxy when a wave of demons began to threaten their entire species's survival, with Bill becoming their protector. Thor agrees to help him destroy the demons, in order to save the rest of Bill's race, and they track the demons to their source... Bill's home planet, converted into a Hell Gate. Bill's reaction is as you expect:

"Executioner: All laugh at Skurge save you, Balder. And every time they do, I die a little inside. I think... maybe I am dead already. So it does not matter if I stand here and die. I ask you, give me this one last laugh."
 * Again with the Simonson run, at one point Thor gathers the warriors of Asgard for a raid into Hela's realm to reclaim falsely-taken mortal souls. This mission includes his old enemy, Skurge the Executioner. In the successful raid Thor is mutilated and the Executioner, who used to be an honorable and worthy opponent but has since become a joke discovers to his horror that on Ragnarok he will lead the evil dead of Hel to destroy Asgard. He destroys the ship Hela would have used and she, in a fury, sends all the hosts of Hel after them. Thor is willing to stay behind and sacrifice himself to defeat them. But then the Executioner knocks him out and explains to Balder the Brave:

And so Skurge makes an epically Badass Last Stand against Hela's hordes, killing them by the hundreds until finally, as we are told: "They sing no songs in Hel, for grim and cheerless is that realm... but when the new ones ask abut the one to whom even Hela bows her head, the answer is always the same: "He stood alone at Gjallerbru..." and that answer is enough."