Lee vs Gaara, that was a really sad defeat, no matter how hard he tried, the sand wouldn't budge.
Team Minato vs Enemy Ninja and The Boulder, Although Rin was saved, poor Obito was crushed, one of the most painful/saddest deaths.
Kisame's Suicide was a shocker, not really for the sadness, just for the brutality.
Jiraya died a honest death, fighting to the last moment, even though it seemed he had failed to kill Pein, his intel eventually brought him down.
Truly, very sad/shocking moments.