One of the most tragic moments that I could think of is the M-day moment for the X-Men. Seeing their people be put on the brink of extinction was gut-wrenching. All of their hard work was basically wiped out overnight.

Another moment was Batman's death in Final Crisis. Sure, it didn't last, but it was still sad. As was Booster Gold's attempts to save his parents from dying in another storyline (not this latest one, of course.)