i'd say itachi and jiriyah's deaths were the sadest.... honestly jiriyahs hit naruto really bad... and itachi's was only sad after you found out the truth and even then i'd say it was just as sad for sasuke as it was for naruto losing someone that close to them. to a certain extent i'd say jiriyah was like family to naruto especially after he spent 3 whole years with him... and as for sasuke, itachi was the thing that brought the most happiness into sasukes life as a child, and soon later itachi massacred his clan and made sasuke hate him... after he found out his brother still always cared for him it was extremely sad seeing sasuke remember all the good times he spent with itachi, and the thought of itachi being gone now for good hurt sasuke even more... both deaths lead to extremely sad and depressed characters , but later they both calmed down from it to a certain extent.