You know the bit that killed me was Hagrid at Dumbledore's funeral. I think it's because when someone dies, it's the people that are left behind, that suffer. Seeing Hagrid like that - my days, I cried the whole way through the chapter.
And second was Lupin's reaction when Sirius died. That made me cry too.
It was just shock when Sirius and Dumbledore actually died.