Player Punch/Anime and Manga

During the virtual reality filler arc in Yu-Gi-Oh!, the heroes are fighting their way through a horde of Duel Monsters when the Fairy Companion throws herself into the path of an oncoming attack on Yugi. He can only hold her and watch as she smiles weakly and dies, driving him to tears and a frustrated cry of "I've had enough!" before Yami steps in and starts getting dangerous.
For Issei in High School DxD, it's losing Asia in Volume 6 when she got teleported to the void though Ise didn't know it at that time. He then ate Shalba with the use of his Juggernaut Drive and was howling in despair at the sky.