Nearly everything in the Human Noble storyline. The death of their parents, sister-in-law and nephew in the Origin, the conversation after Ostagar where everyone shoots down your plan to find Fergus, the shock in Wynne's voice when she learns you are the "Last of the Couslands", seeing your father in the Gauntlet and being called "Pup" one last time. And if you hooked up with Iona, discovering her daughter in the Alienage and waiting for her mother to come home, but being unable to do anything to help her.
The Dalish Warden leaving their clan, learning the truth from Ashalle about their parent's deaths, discovering Tamlen's fate as a ghoul and realising that Duncan was pulling that Obi-Wan "from a certain point of view" deal since he never said he was dead, only beyond helping.
The Dwarven Noble being framed for Trian's death (if you didn't kill him) and later discovering upon your return that your father has since died, with your home about to descend into Civil war while your traitorous brother vies for the throne. For Female Nobles, discovering that Gorim made it to the surface, but had since married another woman, assuming that you were dead. And if you slept with the noble hunters, finding out you have a son that's been stripped of his caste as well. Even if you get him admitted to Harrowmount or Bhelen's noble house, there's still the issue that your duty to the Wardens and life on the surface means that you'll probably rarely, if ever, get to see your son in Orzammar.
The Dwarf Commoner having to leave Rica behind when they leave to join the Wardens, since it's obvious that she was the one who raised them because their own mother was too busy drowning her sorrows to do so. And Leske's betrayal when the Dwarf Commoner returns to Orzammar, since he was your oldest friend.
During the Mage Origin, watching Lily being carted off to Aenoar despite having done nothing wrong and being just as unaware as you were that Jowan was a Blood Mage, especially since at no point in the rest of the game can do anything to help her. If you spared him at Redcliffe, the (bugged and only accesable via console) quest "Jowan's Intention", where you discover Jowan has changed his name and is attempting to redeem himself by helping refugee's escape the Blight, which includes a brief but touching conversation where you can admit that you're proud of your old friend.
As for the romances, an unhardened Alistair breaking up with any female Warden who isn't a Human Noble, Zevran's epilogue slide if you make the Ultimate Sacrifice where he's never able to love again and most of Morrigan's romance arc is a mixture of bittersweet and heartwarming.