If you care to consider GT a part of the franchise although it technically isn’t cannon.
Of course, there are many sad moments such as Krillin’s first few deaths, the death of Yamcha and the other Z fighters at the hands of the Saiyamen, Goku’s sacrifice and death to kill Radditz, Vegeta’s sobbing and death during the Frieza Saga, Future Trunks finding Gohan dead, and even Vegeta praising Goku as being the best during the Boo Saga, or Goku praising Boo for all he made them go through right before he released the Spirit Bomb.
But in spite of all of this, living in the Dragon Ball universe we never experienced true death in the proper sense. Characters died but were eventually revived or visited in the after world anyway. We knew that death was a literary tool, not a definite state of absence.
Even Goku’s grandpa could be seen in the show after he passed, and though his absence from the rest of the story despite his huge role during Dragon Ball is quite strange, it’s still implied he’s fine, and that if Goku wasn’t such a freak he could drop by and say hi anytime.
But during that last episode in GT something strange happened. Goku died. And not in the same sense as everyone else. Goku passed on to a different plane of existence completely unattainable by the rest of us. His absence this time would be real, tangible, and most likely definite. For the first time ever we experienced an absence very similar to real world death.
We saw Goku rest on Shenron, as if he was asleep.
We saw Pan pick up his old clothes, and Vegeta tell her to hold onto that.
We saw Goku drop by the Kama House and spar with Krillin, and then vanish.
We saw Goku drop by hell to say good bye to Piccolo.
We would not be seeing Goku ever again. Wherever it is he was going, no body, no even Piccolo in hell, or all of his friends in the After World would be able to see him, talk to him, reach him or bring him back. And this time it wasn’t like he self-imposed exile after the Cell Saga, this time he would be out of our lives for good, with no warning and no whining – Goku was gone, and only a few selected ones had the chance to get a glimpse of him right before he passed.
Some will argue that Goku went here or there, that he became this or that, or that the episode was an analogy to all the experiences we as children had growing up with Goku, true. But ultimately, the whole feeling and atmosphere created around and in the episode evoked death, loss. Irreversible absence.
It evoked the same feelings you get when suddenly you lose someone you love: You wonder where they are, why aren’t they coming back? You find their old belongings and hold onto them because it’s the one thing that still has their smell. You relive old memories over and over again of you two doing something you always did together. You feel lost at their sudden absence and you can’t explain why aren’t they waking up, or coming back. You realize that even if you want to believe they’re still somewhere else, it’s irrelevant because you won’t be hearing their voice ever again, and they’re never coming back.
And that’s why I think that the saddest moment in the franchise, because it was like a funeral.