I'm surprised that no one mentioned Garnet's true mother and Brahne's death. Both were very sad, because Garnet did lose 2 mothers, which made her spiral into a depression which kinda made her useless in the game for a while. And Kuja and Vivi's deaths were very sad. A little dramatic, but still sad.
Aeris' death was of course sad. I cried every time I saw that part with the music playing and all...
Rachel's death was sad, too. I cried then, too.