I'll go with
Gwindor. Not only was his brother executed before his eyes, but he was taken in chains to Angband shortly afterwards and enslaved there for fourteen years. Then, when he escapes, he finds that his former beloved has fallen in love with another. Triple whammy!
But what about all those poor Elves who were captured not long after awakening and twisted by Morgoth into Orcs? Seems they had it pretty hard too.