Wooo, two of mine show up! Frank Sobotka's death was just brutal for me. I should have seen from the beginning that he was doomed but I didn't, and in that penultimate episode of the second season, where Frank is walking off to meet both the Greeks and his death at their hands, I just wanted to die. I cried over that one. They ended that episode with him walking off, but the next episode, the last of the season, the cops are fishing him out of the bay.
Ofelia from Pan's Labyrinth was on my list, too. Useless metaphors and symbolism aside, Pan's Labyrinth is a really good movie with a good story, and I agree with Anais that if you haven't watched it by now you really should. It's an amazing piece of work.