West Side Story, at the end. It's so beautiful, and so heart-wrenching.
Gavroche, because it scared and surprised the crap out of me when I saw Les Mis for the first time.
I really like the end of Rosencrantz and Guildenstern are dead. Not on Broadway now, but the play itself is so thought-provoking.
Oh, and Aida. I guess the deaths at the end are implied, technically, but they still gave me chills.
Hear the words I sing: war's a horrid thing. So, I sing sing sing... Ding a ling a ling.