I think it's hard to say. People deal with grief differently, partly depending on if they have dealt with loss in the past. I would say Dawn, for the reasons [MENTION=11629]Ripper666[/MENTION] stated. She just wasn't used to loss, and she had to deal with the loss of two loved ones within a few weeks(unsure how long) and the guilt of not jumping to save one of those two.
And unlike Willow, Anya, Tara & Xander, she thought Buffy would never return (on the other hand, she might not have thought Buffy was in Hell, which must have tortued at least Willow, Xander & Tara).
Spike & Giles suffered as well, of course, but of those two I think only Spike might have felt a similar loss and guilt comparable to Dawns. He had no one, and failed to save Dawn, in a way the others didn't. Giles on the other hand, was probably used to deal with guilt. That could of course mean he took it harder than the others, but I think he built up a resistance over the years.
But it's hard to compare pain like that. It's not like one can weigh it. And some people might feel more pain than others, but still be able to handle it better than those that felt less pain over a death, if you know what I mean.