Shinji and Asuka from Evangelion
Naruto
Lelouch from Code Geass
Yuri Nakamura from Angel Beats

I totally agree with you about Shinji and Asuka i felt so bad for them. I don't know why anime fans hate those characters. But to me out of the two characters i would say Shinji had it worse. He saw his mother get killed/absorbed by a robot, his father hates him and abandoned him after Shinji's mother died, his father tells Shinji only to pilot a robot which gives Shinji significant fear and anxiety. His life is very traumatic. Poor Shinji
Asuka had it bad too. Her mother went crazy and thought a doll was Asuka, Asuka later sees her mom kill herself afterwards. Poor Asuka :(
On the other hand, i didn't really care about Naruto i was never a fan, and i never saw Angel Beats i have to check that out.
I didn't know Lelouch had a bad childhood. I only saw a couple of episodes of Code Geass i have to check that out too.

Yuno from Mirai Nikki :C

Lucy from Elfen Lied, not even a comparison to all these other sob stories. Although Sasuke's was pretty messed, not easy to make a man go insane. Dead Clan, Dead Parents, and Brother who caused it all.

I'm going to say Hansel and Gretel from Black Lagoon. Even counting over-the-top unrealistic childhoods some anime characters get, theirs was pretty bad, and the worse part of it all is what happened to them can, has and will continue to happen to real kids around the world.

Morgiana from Magi:The Labyrinth of Magic
I know Its only been a few eps. but she had it real ruff i mean i slave since u were a kid is some shit
Bossun(Fujisaki Yusuke)& Tsubaki From SKET Dance
Himeko From Sket Dance
Switch From Sket Dance
Ciel Phantomhive From Kuroshitsuji (aka Black Butler)
Rurichiyo From InuxBoku s.s (in a way)
Gokudera Hayato From Katekyo Hitman Reborn(Cuz Of His Moms Death and He Didn't Know)
Erza Scarlet From Fairy Tail (Definetly)
Elfman And Mirajane From Fairy Tail
Lucy "Bummy" Heartfilia From Fairy Tail
Gray From Fairy Tail
Lucy Elfen Lied
Yuno Mirai Nikki
Yuki From Gravitaion
Miyu From Super GALS

Sasuke from Naruto had a pretty tough childhood. Your own brother that you love killed your own family, and parents in front of his very eyes.

I would also say Edward from Fullmetal Alchemist. As a child he lost his mother his dad walked out on them and didn't come back. He tried to revive his mother but ended up seeing some hideous thing (pretty traumatic). He lost his arm and leg plus the body of his younger brother Alphonse. It sucks because he was only 10 and as a child he had to carry a heavy burden that he was at fault for causing his little brother to lose his body, and his suffering living in a suit of armor where he cannot feel anything, eat anything, or even sleep. Ed and Al both had it pretty bad. :/

Would you rather be: Sold into partial slavery by your bastard of a father and raped by a subordinate of his merc company? OR, Have your estranged father so left alone at a train station after the death of your mother suddenly call upon you to emotionally scar you again by telling you that you ARE getting in that 60-70ft tall robot and you ARE going to fight a murderous alien bent on destroying humanity?

Emotionally, the ones that make you actually feel sad are the worst, so Natsume from natsume yuujinchou which was quite teary.
Alphonse and Edward from FullMetal Alchemist, it was pretty bad.
Naruto, mostly because nobody payed attention when he was a child.

Sawako "Sadako" Kuronuma, She was always shunned by her peers for rumors that said she was cursed. Her only "friend" talked to her only in private. The thing that made me really feel and think that she had a horrible childhood is in i think the 4th episode when she said,"It was all a misunderstanding, I'll just go back to being all by myself, like how it used to be."

All the characters in Elfen Lied.

Every other episode I would litterally say: "Oh My God! I can't believe they did that!"

I'd rather have my father leave the family, my mother volunteer for this experimental project involving putting part of her consciousness inside a 60-70ft tall cyborg monstrosity and synchronizing with it, for her to survive only to be mentally unstable to the point where she thinks her daughter's toy rag doll is her actual daughter, having every encounter with her end with her thereafter either resenting the very sight of me or completely ignoring me for the doll, have her get very sick and become hospitalized, end up seeing her commit suicide in front of me, get sent to school and graduate college at age ten thinking myself superior than other children until I met circumstances where I realize I'm truly alone in the world, despite people trying to reach out to me I push them away out of resentment for myself and fear of losing the barrier I have etched around myself that 'I'm better off on my own!' and 'I don't need anybody else!' when in actuality I just 'Want somebody to hold me!' and 'Don't want to be afraid anymore!', until I cave in on myself in depression and the feeling lack of self-worth to the point where I lose all motivation to live, further push people away, eventually attempt to commit suicide just like my mother, but end up barely surviving to where I'm so deep into the hole I've dug that I go into a temporary coma and whilst in the coma because of the aggravation of my friend who's trying to get me back to the living I unleash all my outright hatred on him as I strangulate him before the doctors pull me off. There's more but I think that's all I need to say.

A tough one. But I would have to agree with Lucy from Elfen Lied

Soujiro from Rurouni Kenshin in my opinion.
http://www.youtube.com/watch?v=cbz7Bx2y18M