1. when you leave amta
2. when they dont let you back in the vault/stay fallout 1/3
3. not being able to save the ghoul from megaton , from Moriartys wrath

There are dozens of things that make me sad in Fallout. This is a great example of this:

http://fallout.wikia.com/wiki/Matthews_Animal_Husbandry_Farm

Harold's tale of their expedition into the military base; where Francine get's killed and most of the other's get killed, Richard gets knocked into the vat and partially dissolves, and Harold makes it out alive, but forever changed ~and forever changing.