The Colossi. Every single one of them. Even the little bull buddy one.
I could probably come up with a few more too, but these are the ones that I've re-experienced recently.
Hank and Dean at the end of season one. I mean, it's sad before you see season two anyway.
when Kallor kills Whiskeyjack... holy hell did that one get me. I dropped the book in shock. I mean, at least when Tattersail died you hadn't stored up almost three books worth of character yet... The deaths of a lot of the rest of the Bridgeburners later was also pretty strong, but Whiskeyjack, oh man. That was tough.
I could probably come up with a few more too, but these are the ones that I've re-experienced recently.