While there is a lot of light-hearted, kid-friendly, fist-pumping happiness in Galaxy-resetting events that are dark and tragic, the tragedies that affect the audiences most are character's stories, their lives, and the heartbreaking nature of their beings.
Darth Plagueis the Wise may have a tragic tale told about him, but there are other characters who are good at heart or could be good who have lived lives riddled with pain and loss, some of the best characters in the franchise nonetheless.
Kylo Ren
Kylo Ren, also known as Ben Solo, is arguably the best character in the sequel trilogy, with his torn nature and the excellent performance of Adam Driver making him a standout in every scene.
The history of the character is one not as fleshed out or as layered as the likes of Vader but tragic nonetheless. Left and let down by not only his parents but by his uncle, his Master, Solo, is preyed upon by Snoke/Sidious and seduced to the dark side, left in a state of constant internal struggle. He kills his father and loses his mother before he realizes his mistakes, and while his helping Rey may not make up for things like the Hosnian Cataclysm fully, that only adds to the tragic fact that deep down, Ben Solo is good.
Ahsoka Tano
Ahsoka Tano has one of the greatest journeys in Star Wars, not just in of her arc in the story, but in the fact she has gone from one a hated, annoying character to one of the most beloved characters ever. She is also incredibly tragic.
Betrayed by the Jedi Order, something to which she dedicated her whole childhood and early life. Ahsoka not only lost herself and her way of life for a time, but she lost her older brother, her friends and had to hide from the Empire, helping from the shadows. She may not have fallen to the dark side or died awfully (yet), but she lost everything and had to figure out everything from scratch, alone.
Pé Amidala Naberrie
One of the great things about The Clone Wars was delving further into how brilliant, and badass, Pé Amidala was as a politician. That is really where her tragedy lies, how her whole life of trying to do good was ultimately pointless.
Pointless may be harsh; nobody frustrated the plans of Palpatine like Pé, who was constantly getting in the way of his evil. But, ultimately, she was being played. Not just in politics, either. Her relationship with Anakin was used, twisted, manipulated into a way to seduce him to the dark side, and she lost everything, dying giving birth, so heartbroken that she could not survive.
Asajj Ventress (& Maul)
For a while, Asajj Ventress was a fairly basic villain in a pawn like everyone else in Palpatine's game. Then she was betrayed, and fans got to know her more and more.
Being cast out by Dooku is not even the most tragic part of her journey. Being lost and captured when she was young, losing her Master, and becoming so angry and hate-filled that she fell to the dark side, are tragic moments in her life. As The Clone Wars went on, it became clearer there was good in her deep down, shown by her eventual death, sacrificing herself to save Quinlan Vos from Dooku. Like Ventress, Maul was also pretty tragic, taken from a young age, manipulated, and filled with hatred and anger. He lacked the spark of good, but his whole life was one of fear and pain, and that is pretty tragic on its own.
Leia Organa
One of the most underrated aspects of Leia's character in the original trilogy is how much she had already lost to that point, how tragic her life truly was while she was out there helping to save the Galaxy without complaint.
Leia lost her planet, her adoptive family, her blood family too, and had been helping in leading the rebellion since she was just a child. Fast forward to the sequel trilogy. She lost her husband and son before her husband died, and she herself had to die to save her son. Leia not only endured so much loss but did so while leading the Galaxy against tyranny and evil.
The Separatists
Not all Separatists were good or sympathetic, the likes of Nute Gunray, Wat Tambor, etc. but neither were all of the Republic, and so many of the Separatists were played just like the so-called 'good guys' were.
Characters like Mina Bonteri, who were lied to, painted a false picture, forced into a war they did not want, and who eventually died for it is completely tragic. There is even an argument that Dooku himself is tragic, losing his Padawan, losing his faith in the Jedi, and seduced to the dark side where he was used as a pawn and thrown away as such.
Shmi Skywalker
It is always pretty awful seeing slavery in Star Wars, knowing that the practice still exists in the Galaxy and that it is done to good people, people like Shmi Skywalker, whose tragic tale is an underrated one in Star Wars.
Fans obviously do not get much of Shmi. All the focus is on the chosen one, Anakin, after all. But Shmi was in poverty, a slave, kept and sold, before immaculate conception forced motherhood on her, and she birthed a son who was also a slave, who she would have to say goodbye to before she was kidnapped and killed. As tragic a life as any, and one shared with a lot of slaves throughout the Galaxy.
Obi-Wan Kenobi
Obi-Wan Kenobi was not perfect throughout his life. His lies and mistreatment on occasion to Anakin are often criticized, so too are his lies to Luke. Nevertheless, he is one of the most beloved characters in the franchise and one whose life is riddled with tragedy.
Obviously, there is Anakin, whose fall to the dark side made him feel guilt and heartbreak, as well as sending him to a life of exile and isolation until Luke was old enough, forced to watch the Empire inflict its evil on the Galaxy. Then, though, there is the Satine side of things, Qui-Gon's death, being thrust into being a Jedi Master to a difficult Anakin, and, of course, sacrificing himself, all of which create one of the most understated aspects of Obi-Wan's character, the tragedy of his life.
Anakin Skywalker
Tragedy in Star Wars and the story of Anakin Skywalker go hand in hand with one another, with his fall to the dark side of the Force being synonymous with misery and agony.
Born into slavery, thrust into a Jedi life that surrounds him with doubt, lies, and war, falling in forbidden love, losing the likes of Ahsoka, and seduced, manipulated so perfectly and intricately by Palpatine, Anakin's life was tragic at every turn. The way his puzzle pieces fell into place gave him no chance. Seeing the pain Vader is in through his comics does not help the matter either, and the more layered the character becomes, the more heartbreaking his story is.
The Clones
While Anakin Skywalker is the quintessential tragic character in Star Wars, the true number one tragedy in the franchise is that of the clones. Initially nothing but numbers and soldiers, they have grown to be some of the most beloved characters ever.
That is one of the most beautiful things The Clone Wars ever did. Make the clones individuals, characters with emotional depth and layers. Unfortunately, that makes it all the harder when the truth comes to be; they are more pawns, hundreds of thousands of pawns, used to execute Palpatine's plan, with their minds controlled, before they are cast aside. Of course, some clones like Rex, Wolffe, Gregor, and Clone Force 99 remove their inhibitor chips, but they have then led a life of pain, and loss, left squandering, trying to find their place in a cruel Galaxy.