Jules Whilhite in "Stepping Stones" may only have been in the pilot but it's clear how much she meant to the team when she's killed in the line of duty. Erin having to come in person to tell her husband of her death is the first heartbreaking scene of the series.
In "All Cylinders Firing", Platt's assaulted and her gun stolen to be used to murder her father. When the leads come together and a slip from Burgess gets out to Platt, she ends up breaking out of the hospital and hunting the suspect down, torturing and preparing to execute him for what he did. It's one of the few times in the series Platt slips from the responsible position everyone respects into What You Are in the Dark, enough so that she even thinks Voight would completely understand her perspective. The words that send her into a breakdown and crying after keeping it pent up was Voight pointing out that she's not him, that killing the guy wouldn't make her feel any better.
In "A Shot Heard Around The World", the perp of the episode who targeted and executed two police officers is mentally ill and turns out to be the son of a fellow cop Voight and Olinsky knew. The looks of anguish on their faces being forced to go after the son of their fallen comrade, Voight's face when trying to talk the man down knowing he's sick attempting to get through to him by relating that his father was also a cop who was KILOD and when they're forced to take the shot.
The ending of the episode where various characters pay their respects to the fallen cops at the Chicago Police Memorial.
The deaths of Sheldon, Nadia, Justin, and Robert. They were all decent or upstanding characters given various amounts character development and personality, enough to show that they aren't flat or one-offs. Despite being popular and well-liked characters, they end up tragically killed off for the sake of driving a good plot.
Lexi Olinsky's death in the episode "Emotional Proximity". The doctors try to save her, even restarting her heart, but she's suffering from multi-organ failure and the doctors admit there's nothing more they can do. He and Meredith are right by her bedside as she flatlines.
This is followed by Detective Lindsay moving Lexi's picture from the "Victims" board to the "Deceased" board.
The opening of "Homecoming": as Voight learns Olinsky has died of his wounds being stabbed in prison. The usually solid commander nearly comes apart mourning his friend.
Voight heads to the waiting room where the rest of the squad is gathered. All he can do is shake his head as they react. Burgess and Trudy both collapse into tears as Halstead has to storm out, unable to handle it all. Made worse by how the camera slowly pans away from the room and their grief.
Voight's drunken grief on the rooftop at the end of the episode, and his scream as the episode ends.
Just to add one more bit of agony, in the following sixth season premiere "New Normal", just as Voight is getting ready for Al's funeral, Trudy has to break it to him that Al's widow doesn't want Hank anywhere near it. Hank is forced to watch across the street rather than bid farewell to his friend personally.
Atwater attempting to reach out to Jordan in "43rd and Normal" and only getting pushed further and further away in response. It ends with him literally being left out in the cold.
Halsted dealing with his father dying in a crossover special. He and his brother briefly come to blows over their dad being rendered brain dead with Halstead throwing himself into a human trafficking case rather than deal with his grief. At the end of the episode, he comes to his father's apartment and finds scores of photos of himself from his police graduation to being honored and realized that, rather than resenting him, his father was proud of Halstead. He breaks down sobbing at the lost year of talk the two could have had.
For Burzek shippers there's Burgess either repeatedly giving Ruzek the cold shoulder or telling him off every time they attempt to discuss what to do about her unplanned pregnancy. Ruzek lived through a vicious divorce with his own parents yet genuinely loves Burgess, so for him to keep trying to do right by her only for her to shut him down at every turn has got to hurt.
Comes to a head in "43rd and Main" when she finally has enough of him mother-henning her and chews him out over it, basically telling him that they're not a couple despite the pregnancy and what she does with her child is her choice alone — never mind he's the father. The look on Ruzek's face after she's through ripping into him is absolutely heartbreaking.
Burgess miscarries the baby as a result of being assaulted in I Was Here. The sequence in which it happens is heartbreaking—she shows up in time to stop a human trafficking victim from being murdered by her pimp and, in the struggle that follows, he punches her repeatedly in the belly, causing her to cry out in pain and knowing what will likely happen in result. When Ruzek finds her, she's an absolute sobbing mess, and he gently cradles her. Later, it's confirmed she did lose the baby and, as a heartbroken Ruzek attempts to comfort her despite his own grief, she just sits there — unresponsive in shock, with a facial stony expression.
Skip forward a couple of episodes to "Burden of Truth" where Burgess has an emotionally charged confrontation with Ruzek about the loss. She openly blames herself for going in alone when she should have called for backup and costing herself and Ruzek their chance at becoming a family. She declares that she wants Ruzek to be as angry at her as she is with herself, if not more so. But he admits he just can't do that.
Rojas being forced to turn in her ex-boyfriend, whom she viewed as a brother, in connection with a drug-dealing case. He rebuffs her attempts to reconnect and part ways amicably, saying they're in two different worlds. Seeing her tear up over this is pretty sad.
The punishment Atwater is put through for breaking the blue wall and not knowing who to trust or even if his fellow Intelligence colleagues have his back.
Mikayla, the little girl from "Tender Age" and "In Your Care". First, she witnessed her family's massacre, at the hands of her own father and his new girlfriend— being utterly traumatized. Burgess takes her under her wing after finding her wandering the streets alone in catatonic shock. Once the case is resolved, she's sent to live with her cousin, Cathy, only for Cathy to have severe mental issues and to turn Mikayla over to DCFS for her own good. Then she gets kidnapped for ransom and revenge by the biological father's girlfriend to pay for his protection in prison—which gets her babysitter killed. Fortunately, she's asleep for most of it (albeit that's due to her being drugged and she did witness her sitter being fatally shot) and Burgess and Ruzek rescue her unharmed.
Seeing Ruzek and Burgess go from being a united front in order to get Makayla back to viciously blaming and ripping into one another when Ruzek gets himself made by one of the kidnappers and is forced to fatally shoot him before he can tell them where the girl is being held. Even though they do ultimately find her (physically) unharmed, the end of this episode, the one three episodes later, and even glimpses of their interactions in the ones in between make it clear that they have not cleanly moved on from this, resulting in Ruzek moving out of Burgess's apartment before things come to a head again.
