When you're comparing tragedies, it's kind of hard to top the Holocaust. It seems odd for a comic book to co-opt the most monstrous event in modern history, but hey, at least it becomes an important part of Magneto's character. Plus it's history, so, you know. Educational.
As a hip young Jew living in Poland during the Holocaust, life played out for a young Magneto pretty much the way you'd expect: his family was murdered, he escaped, was recaptured, tortured, escaped again only to watch an angry mob burn down his home & kill his baby daughter. Then, when he used his powers to murder those responsible, his wife ran away from him out of fear. Magneto would later channel this crummy childhood into years of hunting down Nazis and forcing them to consider this uncomfortable fact: when your opponent crashes down through your ceiling in a costume that looks like Satan's dildo and begins using his immense magnetic powers to feed you your own automobile piece by jagged piece, maybe you're not on the winning side of this whole "ubermensch" debate.
4. Astro Boy
Any tragic origin story worth it's weight in tears involves at least one gruesome, unjust death. However, in the case of Astro Boy, that death just happens to be his own. As Tezuka's now-famous manga reveals, Astro was originally a boy named Tobio who died in a futuristic automobile accident. His father, the famous roboticist Dr. Tenma attempts bring him back to life in the form of a robot replica, a pretty standard weekend project by robotocist standards. However, he eventually disowns Astro due to his lack of human flaws, and sells him to a robot circus where he is abused and mistreated. Tezuka and the Japanese school of comics teach us a valuable lesson about tragedy: the only thing worse than a dead parent, is one you wish was dead.
3. Martian Manhunter
Sure, Superman lost his whole planet. But he was just a baby when Krypton blew up, and he immediately got a couple of charming old foster parents & ten seasons of Smallville to work out his abandonment issues. J'onn J'onzz, on the other hand, was already a family martian when his wife, child, and every other member of his species were murdered by his evil twin brother. Now, normally comic book characters go insane at the drop of a hat: all it takes is seeing a loved one killed or getting infected by a cosmic fear entity and boom: Bonkerstown USA. But in this case, I think J'onn earned the trip.
Luckily for him, a kindly Earthling scientist accidentally teleported him to Earth, and, upon seeing an alien for the first time, promptly had a massive heart attack and died. He was already the last of his kind. Did he also deserve to be stranded on the planet that invented Jersey Shore?