Torchwood, end of season 2. With Tosh being helpless to save Owen, and the both of them knowing they are going to die. Plus, knowing that the show will never again be as awesome as the first two seasons were… I know when I first watched it I just lay on the couch for ages after, emotionally exhausted.
When Ten had to wipe Donna’s memory, that’s definitely up there for me as well, probably equal first. Heartbreakingly tragic.