The Megas/Tear Jerker

Several, given all the Robot Masters die, but there's some special mentions:
 * The Quick and The Blue: The entire song is basically Quick Man trying to come to terms with his eventual death.
 * Programmed to Fight: Though ambiguous, it appears Crash Man commits suicide with his last ounce of will so that Mega Man can retrieve his weapon.
 * Promise of Redemption: Bubble Man's entire life was a joke, and he wanted to give his ridiculous existence some sort of meaning and respect by avenging the murder of his brothers. But we all know his death will be just as meaningless as his life.
 * Everything about Protoman; his song I Am Not The Break Man is about his depression from being sort of rejected by Light in favor of Mega. Things like 'I had a name, he called me Blues,' and stuff about Light tearing his heart out to put in Mega, and how 'I am not broken; I am not the break man'.