The Bittersweet Ending of the "Eulogy for a Saint" Side Story. The Archdemon has been sealed away and the world is saved once more, but Bask died after the final fight without being able to accept Diene's marriage proposal.
Mercedes is often treated with Fantastic Racism by those around her for being a Wraith throughout Episode 1, and the ones who possess unshakable faith in her are few and far in between initially.
The end of Episode 1 has Mercedes no longer under the Archdemon's control, but now she's essentially blank-eyed and soulless. Poor girl has been through more than enough.
It's hard not to feel bad for Ravi as she calls for her mistress Tenebria while she lies dying after battling both Sol and Arkasus. Yuna desperately wants to help her, but Iseria sadly notes that she's an enemy Wraith, meaning she'd probably try to kill them later on. They end up leaving her as she fades away on the ground, although her death thus far remains unconfirmed.
Episode 2, Chapter 6: "Trial of Lamentation". It's a Wham Episode where Straze fatally impales Ras, leaving him in a bloody state as Mercedes cries for help while embracing his body.
The tragic romance between Roana and Straze. All of it. Especially the bit where she visited him to confess her feelings for him, but instead he absorbed her into his cape to save her from the destruction of Rekos. Luckily, she ends the Episode alive and taking care of a much younger reincarnation of Straze, although sadly he currently has no memory of his old life.
Briar Witch Iseria's backstory. Iseria was cursed by the Dark Witch and was forced to fight her lover and friends. The act sent her into depression and locked herself in the witch's castle surrounded by thornbushes. Being cursed also took away the blessing that Iseria once had. In her ultimate move, she tries to summon The Sword of White Flowers but fails as rain pours down from the clouds instead, sending her even deeper into sadness before she unleashes a newfound power from her curse.
Dominiel Nixied and her absolutely staggering inferiority complex, believing that she is weaker than all the others chosen by their respective Spirit Lords and that she doesn't deserve Nixied's power. It's such a relief that she had Ras by her side in Nixied's Sanctum or she may have given up on ever trying to save it from Tenebria and Challenger Dominiel.
Vivian after the death of Kawerik, with whom she most likely shared major unresolved romantic and sexual tension. She leaves in the middle of the Festival celebrating peace between Witchaven and Perland and goes running off into the forest, where she eventually stops and breaks down in tears, all alone and with only the memory of the man she loved, now gone from this world forever. You just desperately want to give the poor girl a hug. Thankfully, she runs into her friends, who eventually manage to cheer her up.
Kayron may be a malevolent necromancer and the mastermind behind many of the plots involving his fellow Acolytes and reviving the Archdemon, but after living for untold decades, all Kayron really wants to do is find a way to destroy the world and meet his maker so that he may find eternal rest. It's disturbingly reminiscent of Salem's ultimate goal.
Tenebria of all people has one of the most horrifically tragic backstories in the whole game, doubling as extreme Nightmare Fuel. Accidentally causing her entire village (including her parents) to slaughter each other when all she wanted was to use the Orb to show them why the dream world was preferable to real life? Doesn't get much worse than that. One can't blame her for breaking down and screaming in agony upon seeing what her actions have wrought. Even her Jerkass tendencies can't take away from the impact of this awful moment, and it's easy to see why she gave her soul and humanity away due to being unable to deal with the pain, therefore losing her memories of being human and becoming a playful yet maliciously cruel Acolyte as a result.
