Some sad moments:
The last assassination in the DB quest-line. I could barley do it, and afterwards i was like

I felt so bad i even regretted looting him/her.
Finding blackreach. To think that a entire race was trapped and deformed there is just... Created a great deal of anger towards the dwewer too.
The fate of a certain person whos name begins on A. Despite the persons previous betrayal i could not help but to feel very sad

Happy moment:
Finding a dragonplate shield in a chest at level 33

. Its a shame my char was a mage, but it sure looks good on my wall in Hjerim.
Also the anticipation just before i got to play the game for the first time!