The first sad one for me was Jorge's. Wasn't so much the fact that he stayed behind, but the fact that he gave you his tags, and threw you off the Covenant Corvette so that you don't begin to have second thoughts. The worst part was, his last wishes were for you to save Reach on his behalf.
The next saddest death was Kat's. As someone who's backstory involved her losing an arm for the team, she died from a shot to the head after her shields were disabled from radiation. No heroics, no last stand, just dead. The scene afterwards, in which team leader Carter was carrying her body, didn't make it any easier.
Finally it was Noble Six's death, your player character. Reach was doomed, but he wouldn't go without a fight. The level description for the epilogue made it even sadder: "Spartans never die, they are just missing in action."