The deaths of Jessie and Sprog in the original film. Despite news that his wife might make it, the knowledge that his child is most certainly dead is what finally drives Max mad.
Actually, it's worse: Jessie is mentioned to have suffered multiple traumas, including the spleen, liver, lung, flail chest, fracture of the left neck of femur and renal shutdown. And by what is suggested in the scene, she apparently flatlined and the doctors managed to "get all her signs back last night." She's alive, but in such poor condition that she might as well be dead.
The death of Dog in The Road Warrior, mostly in its pointlessness. His offscreen yelp makes it more sad.
The fact that Max loses more and more with each passing film: Jessie, Sprog and Goose in the first film, his dog, the Pursuit Special in the second, his shotgun and jacket in the third and eventually his personhood in the fourth.
