Hedwig!
I cried for poor Dobby like crazy. I didn't even care for his character but his death and consequent burial at Bill & Fleur's home just had be bawling. I actually had to leave the book and blow my nose, wash my face, and cry a bit more before I could pick it up again.
I had the same reaction when I read that Fred died.
My heart broke for George and Molly.
I thought Snape had a lame death but his memories of him & Lily were so awesome. I loved them.