I think the thing that was most painful about Mary's death was Sherlock's reaction--he is so obviously trying not to cry, something that never would have happened in season 1. Because now he's accepted that he has friends, people he cares about and who care about him, and now he's losing one of them and can't do anything about it.
Sherlock Quote from 4x01 │ Sherlock Holmes: What is that? (balloon with a face drawn on it) John Watson: That is… me. Well, it’s a me substitute. Sherlock Holmes: Don’t be so hard on yourself. You know I value your little contributions. John Watson: Yeah? It’s been there since nine this morning. Sherlock Holmes: Has it? Where were you? John Watson: Helping Mrs H with her Sudoku.
40 Best Sherlock Quotes from 'The Final Problem' (4x03) - John Watson: Don't worry, there's a place for people like you, the desperate, the terrified. The ones with nowhere else to run. Mycroft Holmes: What place? John Watson: 221B Baker Street. See you in the morning. If there's a queue, join it. Mycroft Holmes: For God's sake, this is not one of your idiot cases!