The death of the main character. P3's main storyline is somewhere in the 70 to 80 hour range assuming you only grind in moderation and do the Social Links as they're made available, so you've probably had a good while to get attached to the kid. The way it happens has a lot to do with how effective it is too, so bear with me for a bit...
For the last two months of in game time, you're aware that humanity's collective despair combined with an unfortunate accident in magically-powered mad science has started summoning the ancient Greek goddess of primordial night, and mental contact with her will lobotomize every living thing with a consciousness on Earth when she arrives. Her son/harbinger, the grim reaper, is telling you that it's a fight you can't win; and he's actually pretty bummed out by this. So, your characters, being plucky JRPG protagonists, completely ignore this (unless you opt for the bad ending), and show up ready to kick ass on the day of judgment... Except after they irritate Thanatos for a bit, Nyx is summoned anyway. And she is totally invincible.
The main character is able to avert the end of the world, but only by using a power that seals her away at the cost of all his HP. A month later, at the end of the school year, he's still alive but obviously ill, and you're given the opportunity to drag yourself out of bed to talk to all your friends one last time. On graduation day, he's so exhausted that he can barely move under his own power, and the demon-killing gynoid who is the only other member of the party that clearly remembers the supernatural goings on has to literally carry you to school so that you can meet the rest of the characters for a prearranged victory celebration. While you're waiting, everyone else finally manages to break the memory loss (apparently placed on them by a sympathetic reaper to help them move on with their lives), and goes out to meet him, but he succumbs to his injuries before they arrive.
And since this is a game where you choose all your protagonist's dialogue, you get to choose how to console the distraught AI that's first asking you what she'll do without a purpose and then begging you to hang on just a bit longer, and finally whether you want to close your eyes and die with dignity, or struggle (futilely) to stay awake until your friends arrive.
...Yeah.