John Winchester

Even though he was only in the first season, to me John Winchester was the saddest character in the show. He didn't just lose Mary the night of that fire, he lost the chance to give his sons normal lives. Many fans resent him for that but honestly once you know what's out there what are you supposed to do? He did the only thing he felt he could do and it saved their lives. 

What really broke my heart was the scene where they finally find him. In "Shadow", you can tell he is really happy to see the boys but there's something else behind it and the way he greets them. He has a sort of sad smile, like he knows he isn't gonna live for much longer. He knew he was going to have to leave his boys all alone.  

                         "...last time we were together we had one hell of a fight"
                                       "Yes sir."
                         "It's good to see you again. It's been a long time." -1.16 "Shadow"