Surprisingly enough, I actually think it’s Lenny taking a bullet. Earlier I probably would’ve said the gang splitting up, but after I finished the game, I’ve actually started to think about Lenny’s death, and how different it was than any of the others. Every death in red dead seems to be build up in a certain way or they have some sort of conclusion (like cutscenes or journal entries) but the way they handle Lenny’s death seems so different at least to me. How sudden it happens and the fact that it’s during gameplay. And when he’s shot they don’t have time to mourn or even react. Arthur stays behind for a second, but continues to run with the others. And to me that tells a lot about their relation, how much Arthur liked Lenny and admired his optimism and way of thinking. And since Lenny is a character close to Arthur it may seem weird that his death is brushed off so quickly, but I think I understand why. It’s a little similar to Seans death - both their deaths were very unexpected - but that just makes it more real, more unfair. How quickly they are taking away from life in their young age and how Arthur doesn’t even get to mourn, but is instantly tossed into action. I dunno if this makes any sense at all, but, yeah, I think Lenny’s death is the most heartbreaking of them.