I just finished up Episode 5, and was blown away. The story was fantastic, and those characters are some of the best I've ever seen in a game. Because of that, when any of them died it always felt like a punch to the gut.
I was thinking back, and for me, Carly's death was still the most profoundly affecting. I never saw it coming, immediately went "what the fuck," and had to pause the game to let it sink in.
Ben had a similar effect on me in Episode 5 with his redemptive arc (him telling Kenny off was one of my favorite scenes of the entire series). I really did want to save him; but am glad he went out without pain (seemingly, unless Kenny just offed himself instead).
I'm also curious how you guys felt if you chose to shoot Lee (I left him handcuffed)