I'd still have to say that BBS is the most tragic.
Here are my thoughts on Days though. That game had a lot going for it, I thought, but messed it up when they decided to create Xion. It's no secret that I despise her, but I will admit that her death was really depressing, although I felt more for Roxas in that situation. I wish that game had been more about the relationship between Roxas and Axel instead of Roxas and Xion, a character that no one diddlying remembers anyway so why does it even matter?
Sorry, I just get pissed when I think about it. One of my favorite scenes in the series is in that game when Roxas confronts Axel about who he really is and who Sora is and why he knows how to use the keyblade. That scene would have meant a lot more and been more real if Xion wasn't also a part of the conversation.