Erza

i think ultear's the most sad one~ but i cried for lucy the most QAQ and i think natsu is the least sad in my opinion~

natsu because he was left alone in the forest

Oh gosh, no one's suffering more than ZEREF. Not Natsu, not Lucy, not Gray, not Ultear, not Erza, and not even Jellal. It's Zeref.

And Ultear and Zeref.

Just see the backstory and present of JELLAL FERNANDEZ.
1) Enslaved in a tower when he was a kid
2) Brainwashed for years only to betray his friends and true love.
3)Living the life of a criminal and being hated by his former friends and general population and even then trying to atone for sins he DID NOT committed(He was brainwashed)
4)Trying to push away Erza because he thinks he is stained by darkness while THE FACT IS THAT HE IS THE MOST RIGHTEOUS guy in FAIRYTAIL WORLD.
And people think Erza is sadder than Jellal. What a Joke.

I think it would be sad knowing thinking that your mother don't care about you. and what the heck? your father not wanting your rice ball doesn't make your childhood sad! lucy?!!