The deaths of Cardinal Wolsey, Liz, Anne and Grace.
Wolsey insisting that Henry is still the "gentlest and wisest prince in Christendom" and refusing to hear a word against him even as he's stripped of power, possessions, and dignity for failing that prince just once.
Henry mourning his miscarried child.
Katherine of Aragon's death. She could never forget how Henry loved her when they were first married and still loved him even after he had abandoned her completely. On Cromwell's last visit to her, she reminisces that even though her first child, a son who died young, was born in January, Henry still sent her roses—six dozen made of beautiful, expensive white silk. Her deathbed letter says that she wishes above all to see him one last time. Henry hands it off to Cromwell without even opening it because he and Anne are busy marching around in yellow "mourning."
The execution of Thomas More. Many people have complained that he is unfairly potrayed in Wolf Hall and still feel sorry and sad for him. Despite his serious character flaws.
The execution of Anne Boleyn. Whatever her personality flaws, you can't watch her kneeling terrified on the scaffold and believe that she deserved anything like what's about to happen to her—and she even has to call the man who ordered her death the "gentlest of princes" as her only means of protecting her daughter. Even Cromwell, the architect of the whole thing, doesn't feel good about it.
Book
Cromwell's order that Wolsey's coat of arms be repainted and brighter in Austen Friars is followed up: after Wolsey's death, he has them painted out.
At Anne's coronation dinner, Cromwell comforts Mary Boleyn, who's being forced by her family to service the king nightly since he doesn't dare touch a six months pregnant Anne. She's reaching the edge of her limit, and when Cromwell reassures her that she'll be released and get a pension, she asks bleakly "Does a dirty dishcloth get a pension?" and starts weeping from misery and fatigue.
Cromwell keeps Grace's peacock angel wings for years, and they finally see day again when Rafe Sadler and Helen Barre have a little daughter. Then, Christophe uses the Christmas closet to terrify Mark Smeaton by shoving him in at night and allowing him to think that the decorations within are torture devices... including the wings. The next day, Cromwell decides he will have to burn them.
Cromwell's repeated skepticism that he was a person his daughters could love, although he was nothing but a good father to them. He's shocked when Johane says that Anne always cried when he went away. And the more time passes, the stronger is his utter disbelief that a child like Grace came from him—he almost starts to think that Liz had her by someone else because she was so pretty and sweet.
When Norris says he wishes he may die of grief before his execution, Cromwell reflects how he didn't get to die after losing his wife, his daughters, his sisters, and his father and master Cardinal Wolsey, how he kept breathing no matter how he wanted to stop, and that "God takes out your heart of flesh, and gives you a heart of stone."
In The Mirror and the Light, Cromwell meets Wolsey's daughter Dorothea and is falling all over himself trying to charm her: bringing her presents, offering her a place in his house, even an offer of marriage (although he immediatelytries to take it back). In return, she accuses him of betraying her father—in such a way that could have only come from Wolsey himself. Cromwell is weeping uncontrollably in spite of himself when he gets himself outside.
Thanks to Dorothea's words, the imaginary Wolsey he speaks to disappears and doesn't come back until the eve of his death. Even then, imaginary Wolsey is vague and fretful, and doesn't give him a straight answer when Cromwell outright asks him if he believes Cromwell betrayed him.
Leads to some Fridge Horror foreshadowing: when Cromwell thinks about the Five Wounds of Christ—the symbol of the Pilgrimage of Grace rebellion—he thinks about his own five wounds:
Five wounds. Wife. Children. Master. Dorothea with her needle, straight between his ribs. One withheld? A man might survive them if they were evenly spaced, and he knew the direction from which they would come.
Also in The Mirror and the Light: a very bad case of Poor Communication Kills leads Bess Seymour to believe she's marrying Cromwell himself when Cromwell wants her to marry his son. One extremely awkward conversation ensues, leaving Bess furious and Cromwell embarrassed and "wretched," in his own words—he calls himself "so soiled in life's battle, so seamed and scarred, so numb, so unwanted, so cold". (The worst part is that there were signs of mutual attraction, even back in Bring up the Bodies, but he assumes as she walks away that she's angry about losing the title and money.)
This leads to Gregory, a sweet-tempered young man who has never once raised his voice to his father, telling Cromwell very plainly and firmly to stay away from his new wife. When Cromwell protests, he says:
Jane Seymour's death. Both Cromwell and Henry are clearly devastated at her loss. It marks the first time Cromwell is truly angry with his king, as he blames both Henry and himself for her death, believing that if he had married Jane instead he would have cared better for her. For Henry's part, it's one of the rare moments where he truly shows some kindness and introspection; unlike with Katherine and Anne, he stays with Jane right to the very end, even though he would like nothing more than to run away. He also sheds much of his narcissism, acknowledging that there's no kingly action or pilgrimage he can undertake to save Jane; all he can do is be there for her and pray for her.
I would walk to Jerusalem, Henry says, but pilgrimages are vain: God keep Jane, if I cannot.
Cromwell's death by beheading. His last thoughts are of his son—"And now no more for lack of time"—his master Wolsey, and his father.
Series
In the series, Liz, Anne, and Grace Cromwell all die in a single day. Cromwell can only hold Anne's hand and tell her it's all right as she slips away, and after he looks as though he has been utterly hollowed out.
Cromwell almost dying from a fever in Episode 4. He first hallucinates Johane as Liz, asking her for permission to love Johane. Then he later imagines being in bed with Liz, and turns to talk to her when he wakes up.
Wolsey gives Cromwell a small box engraved with the initials TC but says not to open it until after he, Wolsey, is gone. Cromwell keeps it in a box with a lock of Liz's hair, Anne's writing book, and the book of hours he would read with Grace until George Cavendish arrives to inform him, in tears, of Wolsey's sudden arrest for treason and rapid decline. Cromwell finally opens the box to find Wolsey's turquoise ring and puts it on, after telling Cavendish there was no need to trouble God about avenging the Cardinal—"I'll take it in hand."
When Henry and his court are staying at Wolf Hall, Cromwell is looking out of a window when he sees Jane Seymour walking in the garden. He already felt drawn to her, and she's wearing the sleeves that she made from his gift; he's picking up his cap and just about to head down to talk to her when Henry steps into view. Cromwell's face falls and you can almost hear his heart break a little as he realises Jane's utterly out of his reach; she'll likely become Henry's mistress.
