Moderator note: This whole post is a spoiler! Too many to put in spoilers so proceed at your own risk.
The opening of Backdraft, where William Baldwin's character, as a child, sees his firefighter dad get killed on the job. Breaks my heart every single time.
Tom Hank's death in Philadelphia.
Robert De Niro getting shot by Al Pacino at the end of Heat. "Told ya I'm never going back." And earlier in the same movie, when Pacino's character comforts the devastated mother of a slain teenage prostitute. Fortunately, he saved Natalie Portman from committing suicide.
The grandmother who fell out of the elevator in The Towering Inferno. In front of her own grandkids!
Hooch getting shot in, well, Turner and Hooch.
The discovery of the kidnapped girl's body in Dirty Harry.
Murphy's torture and execution early on in Robocop. It's so painful that it makes his subsequent payback against the scumbags that did it so awesome.
The murder of Charles Bronson's wife in Death Wish.
In The Last Boy Scout, Damon Wayans' character, an ex-quarterback, tells a story about how, during what may have been the best game of his life, his pregnant wife gets killed in a hit-and-run. His prematurely-born son died about fifteen minutes later in an incubator.
Rorschach getting vaporized by Dr. Manhattan in Watchmen.
Rutger Hauer's final speech to Harrison Ford in Blade Runner. "Time to die."
Bryan Cranston's death in Drive. The music does not help.