Quests serve a number of purposes in the game. Beyond the obvious experience and gold rewards, they advance the story and provide soloing content that wasn't available in earlier MMORPGs.
Each quest has a theme that it sets. There are epic quests, funny quests, story-based quests, disturbing quests -- and then there are the sad quests. From Pamela in Eastern Plaguelands, to Rheastrasza in the Badlands, to Crusader Bridenbrad in the shadow of Icecrown, Blizzard has implemented quests designed to tug the heartstrings of the players.
For me, the saddest quest I've seen so far is The Mosswalker Savior in Sholazar Basin. As part of the Oracles quest line, the player gets tasked with saving Gorlocs from the Scourge attacking Mosswalker Village. The player arrives to find the village in flames and the Scourge running rampant. You can already tell that you arrived too late to save most of the villagers, and the remainder are being mercilessly tortured, dragged through the street on a chain.
What really makes it heartrending is the way that most of the Oracles don't really understand what is happening or why it's happening. They just ... apologize, as if that were all it would take to appease the Scourge. The quest sits smack dab in the middle of Sholazar Basin, which is the most lighthearted zone in Northrend. You spend most of your time in that zone hunting animals, digging up shinies, and making booze. All of a sudden, Blizzard drops the Scourge back into your lap with all the subtlety of your average anvil.
What's the most emotional quest you've done?