If we're talking about LOTR, then I think that Frodo's failure to find healing on his return to the Shire is tragic:
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On the thirteenth of that month Farmer Cotton found Frodo lying on his bed; he was clutching a white gem that hung on a chain about his neck and he seemed half in a dream. "It is gone for ever," he said, "and now all is dark and empty."
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But the most tragic IMHO is the fall of Saruman from wise and noble head of the White Council to a beggar in the wilderness, without home or means to survive. Of course, his later deeds in the Shire make me feel less pity for him!
If we're talking about
all of Tolkien's books, then The Silmarillion is tragerama! Page after page of sorrow and loss! Most tragic in all the books, I would say, is Fingolfin's vain attempt to take Morgoth down in single combat.
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Then Fingolfin beheld (as it seemed to him) the utter ruin of the Noldor, and the defeat beyond redress of all their houses; and filled with wrath and despair he mounted upon Rochallor his great horse and rode forth alone, and none might restrain him.
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Although, if anyone were to argue that Túrin's life story were more tragic, I could not say much in way of argument.