This is going to be difficult, so feel free to post more than one for a region if need be. This thread will exclude movies/specials.
Kanto=Ash trying to release Pikachu
Johto=Charizard leaving the cast to train
Hoenn=Jessie, James, and Meowth taking Hyper Beams from a Tyranitar to protect Arbok and Weezing, later releasing them. Probably the most noble thing TR ever did.
Sinnoh=Last Episode, haven't finished Sinnoh yet, though.
What are your saddest moments?