In chapter ten, when Precia collapses and starts coughing up blood, Fate's fear and desperation is absolutely heart wrenching.
In chapter nine, Nanoha is utterly terrified at the TSAB's threats to permanently seal away her magic if she doesn't stop aiding Precia.
She said they'd t-take my magic away. If… if we got caught. That if I kept t-trying to help Alica, they'd lock up all my magic so I couldn't use any ever again and make me s-stay here on Earth for my whole life and… And what about Vesta? Would… what would happen to her if I had my magic locked? Would they lock hers as well? And Raising Heart, would they take her away too? And… and what would they do to you, if they'd lock me up and keep me from ever leaving here? Or Alicia-chan! Or…
At the climax of the story, Nanoha once more chooses Fate over Yuuno, and accompanies Precia into Imaginary Space, which is simultaneously this and a Heartwarming Moment.
I'll see you again someday, and make things right. I promise.
Nanoha's entire development throughout the story. She starts off as a Naïve Everygirl enjoying herself at a family vacation at the hotsprings, and ends up a girl thoroughly broken inside by the trauma's she's been through, moving on only through sheer force of will.
Yuuno's desperate pleas for Nanoha to abandon Precia plays your heartstrings like a fiddle. Especially if you know that he's fighting a losing battle.
...Yuuno's voice halted her, urgent and frantic and desperate.
"Nanoha! If you go now...Nanoha, you might die! I don't want to lose you!"
Yuuno's final meeting with Nanoha's parents. Everyone present aside from Quint is struggling hard to fight back tears.
Power Games
It is revealed that Subaru and Ginga were kidnapped while Quint was away, and she is clearly heartbroken.
Worse, it's revealed Ginga would rather stay with the Doctor, because she can't understand the notion of kindness without knowing what makes someone happy. Jail is happy simply by learning so she feels safe with him.
' "Grown-ups are only safe when they’re happy with you. I know what makes the Doctor happy. He likes learning things. He learned loads of things from looking at how me and Zero work and what we can do, so he likes us. That makes sense. Mrs Nakajima… didn’t."
Chapter 8:
Yuuno tries to convince Nanoha to come back to the TSAB before she gets into even more trouble. She begs him to change the topic before their friendship gets torn asunder by their difference of opinion because she's learned from several different sources the sheer scope by which the TSAB is corrupt.
Hayate's condition worsens drastically, forcing the Cloud Knights to be loud in how they approach the situation and awakens the Wraith persona of Shamal.
Chapter 9:
Precia's possibly final speech to her children.
Linith kills herself to give Precia a stronger chance of survival, throwing the remaining Jewel Seeds into the void of space as well to prevent anyone from getting to them as well. Worse, Arf and Vesta understood perfectly well why she did it while the other girls mourned the loss of a mother-figure.
The Cloud Knights are all killed by the Mirage, triggering Hayate's transformation with the Book of Darkness.
The Epilogue. There is no happy ending. It's all a lie!
Epilogue Three:
Once again, Yuuno and Nanoha have to part, with her giving him a Last Kiss on the cheek, because she can't trust the TSAB.
Precia's death and funeral on an uninhabited world.
