Good stuff here, all told pretty complete, the ideas all thought out well.. but..
Just to throw in a few that I would consider "worse", as in the
most extreme, that any character had to face in ME, I am also disregarding good and evil / which is worse etc.... and to preface - my premise would be that an immortal's suffering by face value would have more efficacy than a mortal's suffering when considering the time vector... for this premise only - I actually think you guys hit on my big ones already. But, as usual, I start to think when I enter the barrows...
I am probably way off track but anyways -
Míriel (or any elf who lets their fea leave their body), after giving birth to Feanor. I would throw Melian in there as well I suppose. What is worse than giving up yourself? And in Melian's case - to spent eternity in mourning...
Morgoth - from Wikki: Melkor/Morgoth's fëa was shut outside the gates of the world forever. Shut off from Arda where most of his essence remained he was unable to ever return.
Sauron after the destruction of Numenor. How far was that fall?