The scene where Jerry finally gets arrested at the end. You've grown to hate him, but the sheer pathetic nature and childish cries he makes makes you feel bad for him.
Jerry talking to his son, in tears, about his kidnapped mom. It shows how Jerry had no idea about how his scheme, successful or not, would affect those around him.
By the ending, it only gets worse for his son; now his mom and grandfather are dead, and his father is in jail for his part in that.
Marge's speech.
"There's more to life than a little money, you know. Don't you know that? And here ya are, and it's a beautiful day. Well, I just don't understand it."
"I just don't understand it." Marge keeps a stoic expression as she says it, but there's a hint of grief in it. Likewise, before it, how she asks "doncha know that?" to Gaear — who's remained stony-faced to the line preceding it — in such genuine, saddened incomprehension at the things Gaear has done.
The feeling that the murder could be over a billion dollars and she'd still feel the same about this case.
Marge's final expression at the end of the scene reveals that although she's faced so many brutal police cases, she still feels grief for such existence of evil.
The sad realization that such similar and simple statements could be told to the worst of criminals, and that those words would still not mean a damn thing to them. That's why we can't comprehend such evil, indeed.
The Lonely Piano Piece of the main theme accompanying it adds to the pathos.
Seeing Jean dead on the floor when Carl returns. This sweet and completely innocent lady lived her last hours in terror, and then was unceremoniously executed just for annoying a sociopath.
