I remember one time I was in Whiterun as an Imperial and had just started the quest where it gets attacked. I ran for the front gate to go and fight, when I noticed that there were enemies on my compass while I was still inside Whiterun. I looked by the gate, and there was a Master Vampire standing and whacking a guard with 4 or 5 bodies piled around him, and they had all fallen with their legs behind them so that they were kneeling, pretty much. It was hilarious. Then I realized that my favorite merchant was dead, so I had to reload the autosave and race to kill the vamp before he could kill anybody.
That part was very cool and I got goose flesh, when he gives his speech.
The lighthouse quest is also a very krosis moment for me. I've played this game for a very long time and have only ever done that quest once.
Watching Durnehviir roam the skies when you summon him, cause you know he can't be freed. Not for real anyway.
I forgot the quest name but it's the one with the dead ghost girl asking you to play hide and seek or something. I never found her but I met her alive father and I asked him about how he felt with his loss. He said some random crap and nothing about missing his daughter. I got so pissed I grabbed an iron dagger so It's take a long time to kill him just to torture him. When I killed him I noticed now he could be with his daughter now but he doesn't deserve to be a father. I reloaded the save and ignored him.
Heres so me sad moments/locations in Skyrim.