Something really bad, such as one dying.

the characteristic of making you sad

1. Originally from Greek drama, tragedy refers to the misery and fall of a potentially great figure because of a flaw ("tragic flaw") that is actually the flip side of what is originally his great strength.
2. In common use nowadays people just use it as a fancy word for "sad".

Something bad

Horrible, very bad.

1. Relating to or characteristic of dramatic tragedy or tragedies.
2. Writing or performing in tragedy.
3. Having the elements of tragedy; involving death, grief, or destruction.
4. When all of your Chee-tos are gone.