With the bar being set incredibly high to create shock value I think "The Grove" was one of those episodes for The Walking Dead. Not quite as poignant as the ones below, but it's up there. It'll get there when one of the major characters fall in a heroic moment.
SOA - "Laying Pipe" with Opie. An episode I'll probably never watch again and til this day one of the most powerful ones I've ever witnessed.
GOT - The Red Wedding - Second to "Laying Pipe" for me only because I had already expected it. However it was still very intense. Major credit for the actors all across the board for playing out a very difficult scene.
The Sopranos - "Long Term Parking" w/ Adriana. That was so well played out.
Hershel was a great character. He was exactly like Dale; the conscience of the group.
Marcus Aurelius: Tell me again, Maximus, why are we here?
Maximus: For the glory of the Empire, sire.
Baked, not fried... the healthy choice.