Warning: Spoilers!!!
1. Roy Harper (Arsenal)
When Roy went to jail, for oliver as the Arrow, he is beaten by a gang of men in the jail. After recovering, the show tricks us into thinking he had been stabbed by somebody in the prison and presumed dead. We find out when Detective Lance appears at Thea's apartment to deliver the bad news, while also blaming Oliver for Roy's death. We later find out, after our hearts had been broken that it was a well thought out plan by Diggle, and Roy is actually living a new life with a new name.
2. Sara lance (Black canary)
Everyone thought sara died before reaching the island... Until she comes back to fight men attacking women in the glades. But the real heart break came when Malcolm Merlyn had drugged Thea into unexpectedly killing her with arrows. Our hearts were put back together as Sara was brought to the Lazarus pit (months later...) by Thea and Laurel. Until it goes terribly wrong and our hearts are broken again, when Sara becomes an animal. Finally sara is back to her normal self once her soul was restored (and our hears are restored also.)
3. Felicity Smoak
Our hears all stopped when Oliver walked into the hospital to Felicity's mother crying (after we already saw a grave in the begging of the episode and questioning Oliver about where he was and telling him that he should have been there. Later, (after getting really nervous) they told us she will live- even if she cant walk again. Still sad, we are thankful to still have Felicity.
4. Thea Queen (Speedy)
They really got us with this one... Ra's A Guhl shows no mercy . Thank god for that Lazarus pit...despite the minor side effect... blood lust (still worth it).
5. Oliver Queen (Green Arrow)
They got us GOOD with this one! Oliver Queen faked his own death, as mayor to protect the city and himself. We had no warning of this and we all thought...Let's not say it. Tabias Church had planned to murder the mayor, after Rory was forced to give away the Green Arrow's identity. Luckily Diggle contacted one of his friends, who Oliver also knew from his former life in Russia. He dressed as Oliver and (literally) took the bullet for him. 
6. Laurel Lance (Black Canary)
If you didn't hate Damien Darhk before (or even if you did) you REALLY hate him now. Darhk painfully killed Laurel Lance, the Black Canary as she decided this would be her last time with the team for a while. This was one of the hardest deaths within the arrow because the whole team if suffering and in pain. We were convinced that Laurel would live, until she died minutes later. (Although her death is not confirmed; she appeared saying hello to Oliver at the end of the mid season finale- season 5.)
7. Malcolm Merlyn
After all of the bad things that Merlyn has done- We still feel bad for him and like him. When Oliver was forced to kill Merlyn, it was actually a little heart breaking. Then he came back- After Thea found out he is her father. He saved Thea, trained her and we actually saw him love for the first time. We were also left to question if Merlyn remained alive after Oliver was forced to fight him on behalf of Nessa A Ghoul. Oliver was forced to chop off the hand of Malcolm Merlyn for the ring of Ra's A Ghoul, to cure Thea's blood lust. We may have a love/hate relationship with Merlyn- but we don't want him dead- just yet. 
