Lusternia/Tear Jerker

The death of Amberle, the first casualty of the Elder Wars. Though fully aware that she may be killed by the Soulless, she still chooses to reach out to them. ("It is the moral thing to do. And if we have no morality, what do we have?") Her lover Meridian's reaction is particularly gut-wrenching.

Meridian was the most changed of us all, I think, with the loss of Amberle. He became hard and spent much of his time with the Second Circle, seeking battles wherever he could. The hamadhi said his spirit would heal in time. It was heartbreaking seeing him wandering the beaches and staring out into the oceans, whispering Amberle's name over and over.

The return of Orlachmar, transformed from a knight into something more akin to the Soulless, able to find happiness only in combating them.

"I should not exist," he said. "I wish I were dead, Clangorum. With all my heart, I wish I had died."

The perversion of Fain and his allies. They begin with the noble intent of defeating the Soulless by turning their own tactics against them, and thus begin devouring the essence of the fallen monsters. Even though it works, they become more and more like their enemies, and are ultimately exiled by their fellow Elders. By the time of the actual game, Fain is the closest thing to a Satan-analogue there is.
The sacrifice of Princess Marilynth. It completely destroys the assembled army of Tainted monsters and prevents the Undead Emperor from attaining Godhood, but also obliterates Celest.

"Marilynth, you know what you must do!" screamed Holy Mother Glaruda from below.
“I am sorry, my people,” cried the Goddess Marilynth. “I must do this final thing to protect the future of the Light. Forgive me.”
“Marylinth, no!” screamed the Undead Emperor as she plunged herself into the Pool of Stars.

The end of the Elder Wars. With the final Elder Gods trapped and the Soulless looming in, they did the only thing they could - sharded their essence, creating the mortal races. Particularly heatbreaking as it's narrated from the perspective of Bollikin, the first of the Elders to die.

"I love you, dear Tae," I whispered. "I must leave now."
"I love you too, little friend," said Tae, "but where are you going? When will you be coming back?"
I didn't answer. I couldn't answer. A deep peace filled me. I would join my creations. It would be my last, final gift to them, to join them in their fate. Tae's booming voice was hammering at me but his words became a blur of sound. Other voices were joining his, but they meant nothing to me. I felt the force of my children's love surge within me. But I was helpless to do anything.
My heart breaks for I cannot take you with me, dear Tae.

- Tae's reaction in the next book makes this even worse.

When Bollikin splintered, the scream of Tae shook the entire First World, even driving the Soulless away as they thought we had unleashed some new weapon.

The tale of the Cursed Child. Raised to Vernal Godhood when just an infant, she is attacked by Muud as she is raised, and he manages to steal a portion of her essence. For hundreds - maybe thousands - of years, he uses this shred of essence to track her across the world, devouring everyone who offers her sanctuary and earning her the moniker "The Cursed Child", which in turn causes her to be shunned by those who recognise her. Eventually the other Vernal Gods discover her, and use her as bait to capture Muud: she is trapped eternally with him in a Lotus Eater Machine. Even the other Vernals acknowledge that this is their worst crime.
Some of the ingame news qualify as well. For example, the last one written by Cririk Adom to Hallifax before his death.