The reactions to Cedric's death. It was the first major onscreen death in the series and out of all the deaths, that one still resonates the most with me because of the way this scene was shot.
I love it. Harry arriving with the body on the grounds, weeping over it, and the crowd not noticing because they are busy cheering and the band is still playing the music. Then Fleur is the first one in the crowd who notices and begins to scream, followed by a perplexed Dumbledore and Fudge hurrying towards Harry. The buildup towards Cedric's father's heartbreaking reaction is just good direction. Wonderfully acted by everybody involved as well. This was the moment, both in the books and in the movies, that we, along with the characters, realize that things are NOT going to be the same as before. If there was a definitive moment where the series transitioned from a more kiddie friendly tone to a much darker one, then this would be it.