Here's my big expositiony reasoning on this one: I cry relatively easily, and so there's been a few scenes that have gotten to me that way: Elena rejecting Stefan at the end of 1x06; Grams dying; Matt and Elena embracing after they find Vicki's body; Bonnie seeing Care in the hospital and tearing up; Caroline compelling her mother; Stefan's face when he and Elena break up after Jenna stabs herself.
But the scene that makes me sad, like deep-down, bottom-out-my-heart, leave-me-with-that-sick-feeling, sad? That would have to be
this scene. [Damn YouTube won't let me embed.]
Damon and Elena on the stairs in 2x08 "Rose"
You just see it all on his face: elation that she's okay, realization her relief is that Stefan is there, and then abject disappointment even around the little bloom of happiness that she thanked him. It even feels like Elena closes her eyes at the end of the scene because she can't bear to see the pain on his face any more than I can. It's so exposing and awful. I never watch it that I don't feel my inner fangirl wither and die right along with his heart.