I think the saddest moment was when Harry was walking to his death. Realizing your entire life depended on how long it takes to destroy Horcruxes...rough. But the worst part of that was when Harry looks at his mom and says "Stay with me." or something like that.

The saddest part of Snape's memories to me was when he was looking through Sirius' old room and was crying over Lily's old letter.