The last episode is a thing to behold. Grave and Harry spend most of it in a diner, just talking, arguing, lamenting their choices. As they do so, they keep flickering between points in their lives, as old man and necrolizer, two young mafioso, and teenagers. All of their decisions and grievances are finally aired out. In the background, all those who died in the series stand silent in witness.
In the final scene, Brandon and Harry finally resolve their differences, and once forgiven shoot each other, having resolved to 'go home' to all the friends and lovers they had lost in their ultimately futile struggle on the way to their golgotha.
"Let's go home... Harry... MacDowell."
"Let's do that... Brandon Heat.
At the end of the series, when Harry admits that he killed his best friend, with a true sense of regret.
The ending credits, which scroll over fond greetings from the dearly departed, not to mention the meeting between two little boys that started it all.
"My name's Harry, Harry MacDowell! What's your name?"
"Brandon... Heat."
During the last few episodes of Gungrave, Grave is in the safe house with Mika, and he is preparing his guns for the final battles with Bunji and Harry. Mika is trying to ask him why he has to leave. Grave naturally doesn't respond, but Mika hugs him from behind. To her shock and horror, she has discovered that Grave's body is literally falling apart (the lack of blood transfusions has caused Grave's body to become fragile and literally cracking) as he only has about ten days' worth of blood in his system, donated by Dr. T. before his death. Grave turns around and tries to console her, and Mika throws herself in his arms, crying her heart out and begging him to not leave her alone, because she doesn't want to lose anyone else. She confesses how much she loves him, how she just wants them to be together always, and pleads with him to just forget about his vendetta and go far, far away from the city and the Millenion in order to live together in peace. She even offers to study the technology Dr. T. used to maintain Grave's body and find a way to save him. But Grave must turn her down, as he knew he was living on borrowed time and his time will end soon, and despite being a silent, tactiturn man for almost the entire series actually says something that's more than two words, in the most heartbreaking way:
Grave: * kneels down and puts his hands on Mika's shoulders* Mika. I'm sorry. I don't have a future, not anymore. My future is dead, just like me.
Grave: You're the strongest person I know. You can make it on your own.
Grave goes on to tell her that she's a strong and brave girl, and that she'll lead a great life, today, tomorrow, and ever after. Mika by now is completely hysterical and Grave has to knock her unconscious, doing so with a punch to the solar plexus. When Mika comes to, Grave has already left and it is the last time that she will see Grave "alive".
The montage after Bear Walken's execution at Grave's hands. He really loved his daughter... The Background Music just adds to it.
"Brandon! Brandon! ...I know now...that we're a family...and we always will be. Forever...and ever."
Watching poor Brandon/Grave visibly and slowly decomposing in the final episodes. His arm falling off and crumbling to pieces cinches it.
In the finale, Grave's leg crumbles as he had been shot there with an Anti-Necrolyze bullet. It happens off-screen, but just hearing the sound of it breaking off is heart-wrenching.
Big Daddy's death.
It's debatably worse in the game: Big Daddy's health fell into rapid decline, so Harry used him as one of the first test subjects for the Necro-Rise/Seed Project. While Big Daddy was still alive. In the present day (when the game starts), he's a twisted, mindless monster locked at the very top of the tower. He's also the final boss of the game—Grave (and you, the player) MUST fight him and there is no way around it.
In the second game, Grave is comatose for a period of time, and Mika refuses to leave his side but is unsure of how to treat his wounds (the Centerhead attack is nasty). She has a dream of the night prior to the original game when she had to leave her mother.
Maria: (looking sad and holding a gun) Mika. Go to see Dr. Tokioka. You must survive, Mika.
(Maria kisses her on the cheek, and lets go of her hands)
Mika: Mommy!!
(fade to black)
Maria: ...Never give up...
The moment Mika admits to Spike why she insists on giving Grave her blood is tearjerkingly sweet. She views Grave as part of her family, along with those who have passed away: Big Daddy and Maria. She feels closer to Grave by giving him her blood.
The last scenes of Cannon Vulcan and Blood War, which really drove home the fact that our antiheroes aren't the only ones with a dream, going about it in similar ways. Theirs really is a Crapsack World.
The death of Dr. Tokioka, in either version.
Dr. Tokioka: When this is all over...let's go far away...You would like that...wouldn't you...Brandon...?
Brandon's death before his transformation, pointing a gun at Harry and having to choose between the Code of Iron and his best friend, and ultimately choosing his friend. And what does it get him? Harry immediately jams a gun into his eye and shoots him out of the glass elevator they're in. Bitter Ending playing at that moment does not help.
"BRAN-DONNNNNN!"
Bunji's death is a hard-hitter. After he loses the battle with Brandon (now Grave), his final moments are spent slumped against the pyramid statue he was standing in front of before the fight. His consciousness is fading, and his angry, lonely life is coming to an end. It gets even sadder when his cat comes back into the building just to see him die. The last scene, in which the cat looks at what's left of Bunji (the Cool Shades) and then mews, adds it.
Big Daddy's reaction upon finding Brandon's body being necrolized. He cries while holding Brandon's hand and asking 'why does Brandon always want to go that far', and eventually tells him just to rest in peace.
Big Daddy: You don't need to wake up. Keep resting in peace. That's my wish... My son.
Sherry's death and her funeral. Harry's reaction is heart-wrenching. Now it's shown that he actually does love Sherry, unlike in the beginning, in which he only considered Sherry a Meal Ticket. He wails with Sherry's body in his arms, and later in the funeral, he holds Sherry's hand and kisses it for one last time while the dead body is in the coffin.
When Lee looks at his photograph with Bob in episode 21... Lee is very close with Bob indeed.
Gary's and Widge's death. They're just two relatively innocent retired mafiosi/loan sharks. They die for Mika's and Brandon's/Grave's sake, because they remain loyal to Big Daddy's Millennion and consider them as a family. Their deaths are horrible to say the least: getting torn apart by Lee. Made sadder with the flashback that plays after Brandon/Grave finds their bloody remains. It showcases their past with Brandon, working together, laughing together... Then there's Brandon/Grave wailing while shedding Manly Tears.
When Bunji confronts Brandon/Grave with a question: "Why did you betray?" Grave remains silent, but the question hits him hard. He can't answer it because he is actually torn between two allegiances: Big Daddy and Harry. If he is loyal to Big Daddy and the Code of Iron, Harry has to die, and thus, he will have to betray Harry. If he is loyal to Harry, he has to let Harry slip and thus, betraying Big Daddy by not following the Code of Iron. What did Brandon do then? He let Harry slip away, which resulted in his death (he gets better-ish), followed with Big Daddy's and Maria's, and the rise of the corrupted Millennion. This way, he didn't betray Harry; instead, he betrayed Big Daddy, albeit indirectly. Then he protected Big Daddy's posthumous child Mika and attacked Harry's Millennion as an attempt to restore Big Daddy's Millennion. This way, he betrayed Harry as he tries to stay loyal to Big Daddy. In short, Brandon/Grave betrayed both sides, which is sadly, against his personal code. Even sadder considering that he ends up betraying two sides instead of one in his attempt to avoid betrayal.
"I never betray." Grave mutters this in a slow, painful way after giving Bunji a No-Holds-Barred Beatdown. The crying noises Grave makes and the flashes of the two being Back-to-Back Badasses in the past that play as he beats Bunji make it even sadder.
Mika: (narrating) I think that was the first time I heard Grave cry. It was just...so sad and full of pain. Like an animal's cry.
playing at that moment does not help."BRAN-DONNNNNN!"