Without a shadow of a doubt, the saddest moment in the 90's Sailor Moon anime is Nephrite's death.
What makes it so sad is how beautifully it subverts audience expectations, at least at the time. We have seen Jadeite be an unrepentant jerk every single episode he was in. While Nephrite's approach was different, aside from his rivalry with Zoisite, there was little evidence he would be anything but the same as his predecessor in terms of alignment. While the relationship dynamics with our heroes were changing (Rei starts dating Mamoru), the bad guys were being bad as a standard. And then Naru got hit by the love bug.
Despite her love, Nephrite was evil, manipulative and only out to save his own skin. He didn't change his ways for her. He did not have doubts about his mission. It was only the interference of his rival, Zoisite, which forced him to team up with his enemy temporarily.
Yet the seeds of change were planted.
He still was an enemy to Sailor Moon and even was able to score a victory of learning her secret identity, but despite himself, he was starting to be softened by Naru, a girl he used and abused. He rescued her even when he didn't have to. In time, maybe he could leave the Dark Kingdom, even if it didn't mean he would join the good guys...but you could see that he might do that too, in time.
And his time runs out with a bunch of sticks impaling his chest.
Never before have we seen the violence of the Dark Kingdom be so real or visceral. Up until this point other than a scrape or two every instance of true harm (not close calls) has been couched in the realm of magical trances or transformations. This is different. This isn't a flesh wound. This isn't merely magic. To make matters worse, Zoisite takes Nephrite's special trinket on top of that.
And Naru, try as she might, pulls on those sticks in an attempt to save Nephrite. One of them budges. Her mortal efforts might just work. The heroes arrive and beat the cannon fodder.
But it's all for naught. Nephrite dies in front of a bawling Naru who doesn't even have the consolation of a body. Instead, he disappears, both physically and mentally leaving Naru forever. The beauty of his disappearance, mixed with the gore of his injury only makes it sadder. To the audience, Nephrite should have been saved but wasn't. His death is sad not just because of the circumstances but because of the juxtaposition of the heroes winning the battle but losing a potential ally so swiftly and brutally. The Dark Kingdom turned the tide in the war.
There are other moments in Sailor Moon that were sad, like dub Zoycite's death*, the entire flashback to the fall of the Silver Millennium, the scene where Usagi received her first power-up, Wiseman convincing Black Lady that her memories restored by the Crystal were fake, Saphir's death, the bittersweet goodbye with Chibi-Usa and Usagi at the end of R.
None of these moments have the same impact as Nephrite's demise, because Nephrite was set up so well as a character before that moment. Unlike the heroes, he did not get to live another day.
As for the deaths of the Inners, that never got to me in large part because I was exposed to Sailor Moon via the dub. I don't just mean because the dub cut the deaths out and pretended the girls were kidnapped, or even because it smashed the demises and the resurrection into a single episode. No, I wasn't sad but because the very next episode, Sailor Moon was back in action and the rest of the girls were the same way. The nature of the presentation muted the impact.
Plus...if your name is part of a title and it's kids media, you're probably going to be back.
If I have been exposed to the original version, and if there had been a break between episodes, then I might have been hurt. However, for me the deaths of the girls was like the death and resurrection of certain pop-culture figures. By the time I watched the media, I knew that person did not stay dead.
*You can hate the censorship, but Kirsten Bishop's delivery of her final lines is far more heartbreaking than that of the original version. Original Zoisite's desire to die pretty may be memorable, but dub Zoycite wanting Malachite to promise to never forget her (and again, how it's delivered) really pulls the emotional trigger on his self-destructive spiral.