Honestly, this is a rather hard choice for me. Especially seeing as how I have this bad tendency with DQ games to not finish them no matter how much I like them, usually due to some sort of saving error(seeing as how I very rarely save) that causes me to lose a bunch of progress. Anyway, my personal saddest moments are...
Pretty much everything in DQV. It's just incredibly sad to me. However, it's also my second favorite story in DQ.
The whole Eri thing in DQVII. I actually cried when I saw Eri still there, trying to help her "sick" master, when he was actually dead.
Trodain in DQVIII. Also, Marta's deadth.