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Numerous occasions. Lancer's shock and grief at being betrayed, Berserker's final moments with Saber, Saber herself - there are too many to count.
Kariya Matou's farewell to Sakura after having just been infested by Zouken's insects in an effort to prevent Sakura from having to take part in the Fifth War. "It seems I've already lost [a bit] to the bugs inside me. I guess I'm not as strong as you..."
Being The Stoic, distant, cruelly practical Magus that he is, you wouldn't think Kiritsugu would be able to inspire this with one sentence. However, his realization that "Ilya weighs less than that Walther" (the Walther being his sniper rifle) and his reaction to this simply convey despair and depression and hopelessness far better than anything else ever could.
His breakdown in front of Irisviel in the second book is another one.
The prologue itself, too. Kiritsugu saying "Then, what about her? I... am not fit to hold that child", and crying at the realization that he's going to eventually have to choose between his beloved wife and daughter, and his ideals and his dream, fearing the time that he'll have to sacrifice what he wanted to protect.
Rider's incredibly blunt and harsh speech to Saber in episode 11, as he systematically tries to break down her ideals, ending with calling her a little girl. Saber's shaken reaction and her flashbacks to the battlefield, where we see her broken and severely wounded, is definitely a tearjerker.
On the same topic, Saber after Kiritsugu forces her to destroy the Grail. She returns to the hill of her scene of death, even more emotionally broken and undergoing a severe Heroic BSOD at the thought of what the rest of her men experienced. She concludes that the fall of her country was all because of her, because she was chosen as the king, and starts crying and and crying and apologizing, over and over again, after deciding that the only way she can repent is to use the grail to erase all her mistakes.
Kayneth willingly gives up in the Grail war in order to save Sola-Ui, throwing away his pride and choosing to protect the woman he loves instead. Then they both die.
Kiritsugu having to kill his mentor and adoptive mother to prevent a zombie outbreak in his backstory.
The episode in question aired on Mother's Day for extra despair.
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