Nico Robin's backstory is the most heartbreaking.

Her backstory was one of the saddest backstory that I had watched in One Piece, although for me Kanjuro backstory was more sad because unlike Robin who met the Straw hats, Kanjuro never got (refused?) a redemption era. It was sad that Orochi exploited his sadness and anger. Witnessing his parent die before his very own eyes at young age, acting as another person, and at the end refusing the redemption offered by Oden's retainer, his story was really sad until his end.