In "The Wolves of Saint August". The panel in which the young girl transforms into a werewolf in front of Kate Corrigan... (shudders).
The death of Vasilisa The Beautiful by Koschei The Deathless. Not only the fact that she is just a little girl that packs the punch, but the Baba Yaga is forcing Koschei into killing Hellboy by offering his own death in exchange... Koschei dies no less than three times in pursuit of Hellboy, all the while he is begging the Baba Yaga to just let him die with some dignity.
The death of Hellboy, of course.
In the same story line, when Hellboy finds that Alice has died, charred by flames that wouldn't kill him, but would kill a normal person in no time. Turns out it was only an illusion, but damn!
The flashback to when a young Hellboy asks Professor Bruttenholm if he's a monster. When the flashback ends, we see the adult Hellboy saddened by the memory of the Professor encouraging him to follow in Lobster Johnson's footsteps as a hero.
Mike Mignola really has a thing against gorillas and chimps. They always get killed in very creative ways... and they always cry for help... sometimes with a human voice. (sob)
In Hellboy's sister publication B.P.R.D., the death of Roger The Homunculus.
Abe finding out his backstory is pretty heartbreaking.
First, he discovers that he infected himself with his powers due to a Stable Time Loop... five seconds before getting stabbed through the chest and nearly dying.
After recovering, he discovers his previous self's home and finds it haunted by the ghost of his former wife, who killed herself after his sudden disappearance. He has to convince her to move on and, after months of fighting a terrible war, deny her genuine requests to be reunited.
And then, in the Garden of Souls arc, he is reunited with associates from the Oannes Society ... only to discover that they - and he - were 100% invested in a plan to destroy the world and rule over the remains. This is followed by having to violently kill them all.
Old Friend: Caul, the real Caul, understood! He would be right beside us!
"The Midnight Circus," where we have to endure the fear of seeing pre-badass paranormal investigator Hellboy as a child, alone, being scared out of his wits by a ghostly circus run by his uncle and half-sister and almost getting hanged by the ghosts of child murderers.
In The Devil You Know #6, Hellboy finds out that Thomas Manning, the director of the BPRD, and a long-time character whose first appearance was in the very first issue of Hellboy, is dying from some unmentioned disease. It becomes poignant when one recalls that when they parted ways almost 20 years before, Hellboy had chewed him out over the BPRD secretly implanting a bomb in Roger's generator. From his behavior it's evident that Hellboy has forgiven him for this, and their interaction makes it clear that even though he is his superior, he is also one of his oldest friends.
"The Sleeping and the Dead": The fate of the family the vampire targeted. The brother was forced to spend decades as The Renfield, his older sister was corrupted and turned into a vampire that joined in on the older one's preying of the village, and the youngest sister became the vampires' "plaything" and was turned into a hag-like monster. And they didn't do anything to deserve this, other than trust a man who showed up claiming to be a distant relative.
"Hellboy in Mexico": After spending some time drifting around Mexico with a trio of Masked Luchador brothers fighting vampires, Esteban, the one Hellboy had grown closest to, is kidnapped and turned into a bat-like monster. Hellboy is forced to Mercy Kill him. The experience is so traumatizing, Hellboy spends the next few months in a drunken haze.
In Hellboy and the BPRD: 1956 we find Hellboy just before the mission to Mexico... and his dog Mac has died. It might not seem like much compared to the later traumas, but at this point Hellboy is barely a teenager, if that, and his dog is dead and no one seems to care. And then he's sent down to Mexico to meet Esteban and his brothers...
"Frankenstein: New World": Frankenstein encounters the mummified remains of Agent Ted Howards/Gall Dennar on his way to the surface world, with the corpse still holding the Hyperborean sword. The creature respectfully and reverently recounts Howards' legend and thanks him for his sacrifice before taking the sword, which is then followed by Howards' body crumbling to dust, possibly implying that some spark of Howards/Dennar remained to guard the sword until someone worthy enough would come along and take possession of it.
