The two deaths in the book which were the saddest for me Dobby and Dumbledore. I knew they had to kill Dumbledore eventually because the final showdown had to be between Harry and Voldemort and he was this unmovable guardian it seemed. But when he actually died and fell from the astronomy tower I cried. Especially because he had just relived his own miserable past and was weakened from the potion he'd taken. Altogether it was just awful and when Harry put his glasses back on his face and wiped the blood away from his mouth I cried and cried.
And the other of course is Dobby I loved him so much, and wow I hated Bellatrix since she killed Sirius but when she then killed Dobby the rage returned and I wanted her dead like never before.
Snape's death I found to be a lot sadder in the movie, in the book I expected it was coming so it didn't shock me like Dobby. I also got teary eyed over Fred but they were all sad because the characters were so great.
But surprisingly Cedric's was probably the most shocking overall for me. Just because his was the first death in the series also it happened in the blink of an eye and book Cedric was so awesome too. Yet he got cut down in an instant as the first real death you saw the aftermath of, and Harry having to look into his dead eyes and face and then return with his dead body was just heartbreaking and that next scene where he refused to let go of him afterwards really struck me as awful at the time too.