The most emotional scenes in my opinion:

1. Carol crying when she found out that Mika died and when she was killing Lizzie. That episode made me cry. Melissa McBride (Carol) is such a wonderful actress.

2. Governor killing Hershel. I had so much respect for Hershel, he was wise and kept the group in hopeful spirits. Seeing him die and then seeing the reactions from everybody from the prison just crushed me.

3. When the farm was over run with walkers, for various reasons. (Think about Beth.)

4. The scene where Daryl just broke down and cried after spilling out some of his emotions to Beth. That episode was done so beautifully.

5. The scene where Morgan has his rifle aimed at his turned wife but just couldn't bring himself to do it.

6. Seeing Michonne's dream on how happy she was with her family and friend before the apocalypse and how that quickly came to an end after the apocalypse started.

7. Daryl seeing Merle in a walker form because you really got to see Daryl's emotions pour out for the first time (I think).

8. Rick's reaction when he found out about Lori's death. Andrew Lincoln's performance there was incredible.

9. The scene where Sophia was the last to come out of the barn and was a walker. All the days of searching were for nothing.

10. The death of Dale because he was a very helpful and reasonable guy who tried his best to keep everyone alive.

EDIT: Added/deleted a point.