When my first horse, Ally, died. She fought valiantly against a dragon, but ultimately, she lost in the end. I found her corpse floating in a small pond outside the cave I had just cleared. It was a sad moment.
Also, I found a Giant standing near the geyser-area of Skyrim at night. A Mammoth was laying dead in the water in front of him. The Giant stared down at his fallen companion silently. I walked up next to him and regarded the Mammoth to pay my respects with a moment of silence. The Giant paid me no mind and made no attempt to threaten me or attack me, he merely stared down at the Mammoth. I left him in peace.
There are also a dozen other general examples of scripted events and areas that are just plain sad. Skyrim is a sad place.
I just came across a young deer stroking it's head on a dead advlt deer. I inferred that it's parent died. It was pretty sad.
Bambi!
Nooooo!