I think the saddest was that Naruto's parent's weren't with him for the most part of his life.
The most sad episodes I remember are...
When Choji comes close to dying in the Sasuke Retrieval Arc.
During the Chuunin Exams in Garaa vs Lee. When Gai steps in to save Lee. And then when he finds out Lee can't be a ninja anymore. That was heart wrenching.
When Lady Chiyo dies.
When Jiraiya-sama dies and Naruto finds out.
When Hiruzen Sarutobi dies.
When Asuma dies and Shikamaru deals with the loss.
Tbh, I don't have much sympathy for Itachi's story and Sasuke. I would like it but Sasuke ruined it by going against his wishes. Other than that all I can say is that was a big burden he carried and no one could have dealt with it with as much grace as him.