The scene where Kat gets captured by SWAT members. She gets shot and beaten, while Dante, trapped in Limbo, can't do anything but stand and watch her. He even tried to hold her hand near the end.
The rivalry between Dante and Vergil just becomes heartbreaking by the end of the game. Throughout the story, the two have worked together to save the world from Mundus, and the game built up a very believable friendship between the two. Seeing it all break down at the end was like a shot to the gut, even if it was a Foregone Conclusion to some.
Even worse considering it happened because they each had differing ideas as to how to protect and value the humans and were both unwilling to listen or try to appeal to each other in expressing their plans.
Vergil's final words to his brother before leaving through a portal:
Afterwards, Dante is so broken that he doesn't know who he is anymore or what he's supposed to do. This leads to a Heartwarming moment as Kat insists that he's Dante, nothing more and nothing less.
From the Vergil's Downfall DLC:
The campaign's story destroys any last hope of Vergil and Dante reconciling their differences.
Mission 4 is particularly saddening in that Vergil saves his mother's soul, who was being held captive by an Imprisoner, only to tell her that he killed Dante, neither knowing it was actually a doppelganger, in a very spiteful manner and then coldly leaves her to mourn the death of one of her sons.
