I like to cry. I know that might sound strange, but it's very therapeutic, and a source of release for me. One of my favorite scenes to cry to is the NYPD Blue episode where Jimmy Smits dies. The clip does not convey it properly - you'd need to be a fan of the show, and understand the circumstances behind him dying to fully appreciate the scene, so to me, it is absolutely heartbreaking. I couldn't find a decent video of just the scene, so if anyone wants to watch, it's from about 1:07:20 on. And it cuts off at the end, but I can't even make it that far any way. Another is from The Champ where Jon Voight dies. Coincidentally, Ricky Schroder replaced Jimmy Smits on NYPD Blue... only to be later killed off as well, though not near as dramatically.
Both of those got me but Derek from Grey's Anatomy was one of the worst for me. That really fucked me up.
I only watched the first season of Grey's Anatomy. I think the music has a lot to do with it, in addition to how vested we are with the characters. Sorry for your loss.
Another death scene that was hard. I really hope one day Natalie Portman will do a sequel as a hitman!