In PMMM, most people would say Mami is the most dramatic and saddest death.
But in my opinion, as much as a heartbreaking shock Mami's death was, I think the death of Sayaka is a lot more sad and heartbreaking.
I think this because Mami's death was sudden yes, but we didn't really have a long time to get to know her, killing her off in episode 3. The good thing about her death was it set the tone for the rest of the show and Mami was a really good character too, her death being very scary (when her head is bitten off). It was a shock.
But I think Sayaka's death is more depressing in my opinion. This is because, even though Sayaka was never my favourite character in the show, she was like able and was a happy, good going, caring person who even gave up her one wish (and soul) to save a boy she loved.
Throughout the show we see that Sayaka slowly loses the plot, falling slowly into madness after her friend Hitomi falls in love with the same boy, who which get together, causing Sayaka to become depressed and change from that happy, friendly and cheery girl she was at the start. All Sayaka wanted to do was help people and save those who needed it, opposite to Kyoko who was only doing her actions for grief seeds.
Sayaka goes from trying to do her best and do what is right:
To completely snapping and going into a state of extreme depression:
Then, when she finally becomes a witch I feel really sorry for her, not only had Kyoko managed to befriend her, but she died knowing the boy she loved didn't even care for her, and she was now nothing but a worthless wandering corpse with no reason to live.
And then after Kyoko, my fave character, sacrifices herself to make sure Sayaka is never alone again, it ends with this song.
Even though Mami's death was a huge impact to set the tone of the show, I think that the depression then death of Sayaka is more heartbreaking. But this is all my opinion. And wow. I wrote a lot. I swear I didn't mean to when I started but wow. Okay bye.