This is a hard choice, but I'll go with Cyan, having lost everything by Kefka, and a horrible way at that, poisoning is just barbaric.
Shadow, I believe is the only FF character to kill themselves... plus his friend begging him to kill him only to leave him must have weighed heavy on him... at least he had a dog.
Locke's was sad, but he fell in love with Celes afterwards so... meh.
Gau, just sad altogether, plus his dad sucks... denial ftw.
Terra's is also sad, but she redeems herself better than the rest of the characters, plus being the only one of your kind has got to be emotional devastating. (Half Human, Half Esper)