I have to agree with you about Rue, Finnick, and Prim. ;~;
Rue, because she was so small and vulnerable.
Finnick because he had already been through so much, being a government hooker, being through the games twice, and then FINALLY finding happiness with Annie, and then having that taken away.
And Prim because we find out that in a roundabout way, Gale killed her. Gale pretty much lost all of his humanity, which is very sad in itself.
I was also upset over the death of Mags. sad She was old, but at the same time, it was just so sad that she had to sacrifice herself like that.
AND CINNA. OH GOD, ALL THE ******** TEARS. ;;~;; When they beat him in front of Katniss, it just broke my heart. ;;~;; I WAS ALL "Y U NO TAKE EFFIE!!!????"