...I play dead is dead of course. ....
Why "of course"? Few people play that way. I find that causes you to avoid challenges. So my character dying is not good but not particularly sad either.
As far as the main question, the list in the spoilers button is a pretty good start. But it misses the absolute saddest even for me, and that is what happens to the Donton's during the fighters guild questline.
Also several of the Dark Brotherhood quests are very very sad. Like what that jerk Lucien does to Francois Motierre's mother. Also your character wiping out that family, or killing that peaceful wood elf in Bruma, etc.