Hate to impose, but if a spot opens up, I'd actually like to join up for this.
I'd go ahead and say that Alter Ego was the death that shocked me the most going through the game, if we're counting the ones that 'actually happened' (because otherwise Kyoko's would unquestionably be the one to have shook me the most) mostly because of where his death was placed - there's this moment of resolve and hope that comes out of Sakura's death where it seems even Byakuya's feeling the groove, which Monokuma proceeds to do his very best to snuff out by rolling out Alter Ego - sort of your ray of hope for two chapters or so - and smashing him to bits. It was such an out-of-nowhere, spiteful moment, especially when you've usually been trained to expect that he'd at least have something new to reveal before being offed. And sure, the game did make good on Alter Ego's contributions afterwards, the initial shock was pretty big.
I guess by extension that makes Chihiro's death the most tragic one, given that they go ahead and kill him twice.
Retroactively, I feel like Mukuro's death was pretty sad. I think for all of Junko's talk about how they were the 'Despair Sisters' at the end of it all, Mukuro wasn't so much a believer in the whole idea of 'despair' as she was trying to get her sister to appreciate her. I'm not sure how sympathetic she is by the end of it all, since that clearly means she was complicit or even active in whatever Junko did to make the world into what it was, but I think it's a bit tragic nonetheless, that at the very end, she was thrown away by that sister (who clearly hated her) and killed by her to prove a really grotesque point. And while School Mode isn't canon, sure, I think what they talk about and reveal about themselves still holds true, and Mukuro's tidbits about her life, her search for a dream, and her vague references to Junko were really just... kind of sad.