Tear Jerker / Catching Fire

• The very premise of the book. Katniss and Peeta won the Hunger Games! They both survived, and from District 12, no less! They're safe now, and they've got all that food, right? No, they're both going back into the arena, which is not supposed to happen. They won, they're supposed to be safe, and now...
  • Even the jaded citizens of the Capitol, and Katniss' Prep Team, are upset. The last time Katniss sees her Prep Team, all but one of them are so broken up that they have to be excused, and Venia, the last of them, nearly makes her cry with her farewell: "We would all like you to know what a... privilege it has been to make you look your best."
  • This becomes huge Fridge Sadness when you think about what this might have been like for some of the other Victors. Think having to fight strangers (with a maximum of one person you have even a chance of knowing) to the death is bad? These people are in a position to watch plenty of people they know, who might even be friends or neighbors, fight and die right in front of them, possibly after turning on their own friends in a desperate attempt to live. Even though some of them were planning an escape, it doesn't get much worse than that, not just for the main characters, but for the other Victors, who have already gone through such a traumatic experience and had several years - or even decades - to heal from it, only to be chosen to go back and do it all again!
  • Like Katniss, Johanna Mason is a young (21 years old according to Word of God) and recent victor and the only living female one from District 7, and therefore defaulted to go back into the arena. Unlike Katniss, she does not have any family or friends to comfort or help her cope after hearing she'll have to go back, heavily implied to have been killed by Snow sometime after her games.
  • Katniss says in the first book, when she meets Cinna, that most of the stylists are familiar faces, that they stay constant over the years. Presumably, they thought when she won that they'd be seeing her again over the years, now that she'd be a mentor, maybe even they'd even "get a better district" after the success of the Girl on Fire dress, and now suddenly, she's going back in to the arena...
• Maysilee Donner's death is quite tragic, especially given how her life intersects with several people Katniss is close with Madge, Mrs. Everdeen, and Haymitch as well as being the original bearer of Katniss's pin. Although Haymitch and Maysilee departed on relatively cool terms, he remains at her side during her last moments.
• Cinna! The last time we see him, he's with Katniss, just as she's about to enter the arena for the second time... and then a bunch of soldiers come barging in, knock him unconscious, and drag him out of the room before Katniss' eyes, with her trapped and unable to do anything about it.
• "I'm sorry, Mags. I can't do it." The fact that Mags committed suicide just to save Peeta is just gut-wrenching.
  • Made even worse when you realise that Mags was Finnick's mentor, and that she volunteered so that Annie wouldn't have to do it.
• The female Morphling's death. Oh GOD. When she paints a flower on Peeta's cheek with her own blood and Peeta tells her it's beautiful...
• The beach scene, where Peeta tells Katniss that he knows both of them are planning on dying for the other, but it has to be him who dies for her. Not just because he loves her, but because she has people to go home to. And then he opens his locket and shows her the pictures inside- not her as you might expect, but Katniss' mother and Prim on one side and, of all possible people... Gale on the other. One of the most heartwrenching examples of I Want My Beloved to Be Happy ever committed to paper because, unlike the usual examples, Peeta isn't just giving up on Katniss romantically to let her be with Gale, he's going to give up his life.
  My family. My mother. My sister. And my pretend cousin Gale. But Peeta’s intention is clear. That Gale really is my family, or will be one day, if I live. That I’ll marry him. So Peeta’s giving me his life and Gale at the same time. To let me know I shouldn’t ever have doubts about it.
  
  Everything. That’s what Peeta wants me to take from him.
  • And when Katniss realises that he's not playing for the camera, these are his true feelings it gets even worse:
  "No one really needs me," he says, and there’s no self-pity in his voice. It’s true his family doesn’t need him. They will mourn him, as will a handful of friends. But they will get on. Even Haymitch, with the help of a lot of white liquor, will get on. I realize only one person will be damaged beyond repair if Peeta dies. Me.
  
  "I do," I say. "I need you."
• At the end of the book, after Katniss is rescued but Peeta is captured by the Capitol, Katniss goes briefly mad with grief at losing him, she attacks Haymitch and has to be sedated.
  Other hands help Finnick and I’m back on my table, my body restrained, my wrists tied down, so I slam my head in fury again and again against the table. A needle pokes my arm and my head hurts so badly I stop fighting and simply wail in a horrible, dying-animal way, until my voice gives out.