I know most people are going to say "charlie" but i think its a tie between John Locke and Juliet. I think the fact that we all thought that Locke was alive kind of subtracted some of the sadness at first, but when you go back and rewatch "The Life And Death Of Jeremey Bentham" and watch the scene where Ben kills him, you really start to feel sorry for the guy, and that makes his death tragic. But Juliet's "death" is one of the most intense and gut-wrenching scenes ive seen on LOST so far. I have watched the episode 4 times now, an each time that scene plays my eyes are tearing(i dont cry while watching tv either). Its imposable to watch the scene with dry eyes.