Of the ones mentioned so far, the only ones I felt much sympathy for was Ben's death in NotLD. The little boy in the Orphanage was disturbing and sad too. Jacob's Ladder was sad, but came with a sort of acceptance, a truly moving movie.
Also in Frankenstein '32 the scene where the Monster throws the little girl into the pond is tragic. Not just for the characters death, but needlessness of the accidental death, which leads to the ultimate destruction of the abused and misunderstood monster, perhaps even more tragic than the young girls own demise.
Same could be said for the Wolfman '41. You can't fault Chaney's character for anything that's happened, and he's generally a good guy, but you know his death is inevitable. And it's tragic nonetheless