Batman Beyond/Tear Jerker

In the pilot, "Rebirth", after much silence, Terry McGinnis finally breaks down after his father's death.
Also in the first episode, seeing Bruce Wayne's last fight as Batman. The fact that Wayne struggles to keep up with the goons and eventually resorts to using the same weapon that killed his parents makes it all the more depressing. One could see why he retired after that.
- You can see the scene here and here, but make sure you have kleenex with you first.
"Meltdown" Freeze's swan song episode
- His final words: "Believe me. You're the only one who cares." No, he's not, Freeze. He's not.
- Terry's utterly heartbroken "Oh, Fries..." when it became apparent that Victor returned to his old ways. Mostly because, as the above quote says, Terry was the only one who had any faith in him.
- The music alone would do it for that episode.
  - And it's somehow made worse by how worried Bruce sounds as he orders Terry to, "Get out of there, now!" right before the music swells.
- The premise of the episode is a tear jerker. Finally, after suffering for so long Freeze is, through cloning, given a human body and a second chance at living a normal life. Truly repentant, he tries to live his new life to the fullest, even starting a charity named after his former wife dedicated to helping the families of everyone he hurt. Then it goes downhill with his body slowly deteriorating back to needing sub zero temperatures. After being betrayed by Mr. Powers (who wanted to perform an autopsy on him for his own 'illness,' Freeze escapes and, after a short battle with both Batman and Powers, once again crosses the 'Despair Event Horizon' and remains behind as the building collapses on him. His final words seem all the more tragic in context...
- watch here, just make sure your tissues are available
The climax of "Dead Man's Hand" where Melanie's father orders her to come save him just as a security guard shows up. Terry whispers: "Don't do it. Just go." with the most heartbreaking voice and facial expression. The scene of him watching the police take her away is also just as devastating because just as she's in the back of the truck, Melanie sees Terry in the crowd.
- Near the end of the episode when Ten is shot at and starts to fall, Batman catches her as she looks at him remorsefully saying, "I don't suppose I could convince you to let me go." We're then treated to a somber Kubrick Stare from Batman, which says a lot with only one expression, seen here.
- Arguably any scene depicting those two breaking apart. From the scene of Terry throwing away her note without even reading it to her believing that Terry doesn't care about her anymore, their relationship really does come to a very depressing end.
The Earth Mover episode is riddled with heartache. You have a man buried alive in radioactive waste seeking vengeance on his business partner who raised his daughter in light of the accident. He gets a face heel when he uses the last bits of his life allowing them to escape with a heart wrenched, "Jackie."
"Out Of The Past"
- The final line:

Bruce: Rest well, beloved.

- Earlier in the episode, Bruce looks over some pictures of his more notable relationships. It's sad because he realizes how much time has gone by and just how alone he is.
In a cross-media example, Superman/Batman Annual #4 is a continuation of "The Call", which has Superman dealing with everything that happened while he was under Starro's control, including Lois' death.
Terry and Bruce's fight in "Epilogue" and especially the part where Bruce is struggling for his pills while Terry, instead of helping, just stands and watches in disgust. He tells Bruce he is insane and leaves him on the floor struggling for his meds while he is having an attack. Considering how close Terry and Bruce were on the show, seeing their relationship come to this is really hard to watch. Good thing it was all in Terry's head.
"Disappearing Inque." Bruce has donned the exosuit to save Terry from Inque. Terry looks on in shock and terror. The exosuit puts such a strain on Bruce that he could very well die.
Ace's backstory in "Ace in the Hole", and Bruce's efforts to keep up appearances while he's missing.
While it flagrantly contradicts Return of the Joker, the ending of the "Hush Beyond" comic. Hush is defeated, and Bruce starts talking much more than he normally would, inviting Dick Grayson to come back to the mansion with Terry, even saying that while he knows things can't ever be the same again, maybe this is just a chance for them to speak again... only for Terry to reveal Dick had already walked away and wasn't listening.
The part of "Revenant" where Matt says he wants to hold a seance because he doesn't want to forget his dad.
"Mind Games". A lost child frantically calling out for help as Terry is forced to use every ounce of his (and Bruce's) detective abilities to find the child and every ounce of his combat abilities to fight the super-psykers who abducted her. All while comforting her to the best of his ability.
"Betrayal" The whole episode is pretty depressing with Terry feeling responsible for his old friend Charlie turning into the mutant "Big Time" and returning to a life of crime. Terry tries to convince Charlie to leave his gang and turn himself into the cops, it looks like he's finally gotten through to him, then when the gang gets taken down by the police, Charlie reveals that he had no intention of turing himself in or getting cured, and he was only using Terry to get rid of the gang so he could start his own criminal empire. Then to top it off he tries to kill Terry in spite of everything he's done to try and help him and, after a fight on the bridge, Charlie ends up falling to his death and Terry just stares sadly and Bruce tries to comfort him over it and relates his own fallout with Dick Grayson and/or Harvey Dent becoming Two-Face

Bruce: I'm sorry, I know what it's like to go up against a friend
Terry: Guess I just outgrew him