The death of Spiderman in the Ultimate comics run. His final fight against Goblin which led to both of their ends. Peter's final struggle was intense and moving. The fight led to hi home where Aunt May was, and this was after Osborn had killed his own son, also saddening.
Also some "Last Days" stories from Secret Wars especially magneto's. His final moments and his daughter words spoke great lengths about his character and what he fought for. And in his final moments they showed.
Also Infinite Crisis, where almost everyone's death pulled me to tears. Superboy prime killed his father, Barry and Jay sacrificing themselves to push Superboy Prime into the future. Also the death of Superboy, Conner, in his final moments says his goodbye to Wondergirl.