I think Anya trying to understand the human emotions of the death of someone close to you was really quite sad.
"..she'll never have eggs, or yawn, or brush her hair.."
Same here. The saddest part for me is during Anya's speech too. In the entire episode, Anya tried to understand mortal death and how she was supposed to act/mourn as human at a time like this, with Willow getting a bit frustrated at her not really showing sympathy. Until she broke down in tears in the Willow/Tara's dorm room.. that speech always gets me every time I watch the episode. I think Emma did a very good job on creating that tearjerker moment.
"...I don't understand why she just can't get back in it and not be dead anymore. It's stupid. It's mortal and stupid."
Another sad part for me would have to be when Buffy was imagining how it would be if she found her mother in time and the ambulance took Joyce to the hospital, while the paramedics were trying to do CPR on her.. only to be flashed to reality.