I knew that Sherlock was going to "fall" but he wasn't going to die because Mark (it was Mark, wasn't it?) had given those clues (Adler, Hound, Reichenbach) and having read the canon several times, I knew he survived the "fall". That said, I was so NOT prepared for this episode. 

The first time I watched it (a few hours after it aired in the UK) I was so excited that my main emotions were eagerness and shock. I think that the hardest part to watch in that moment was Sherlock(?)'s body on the street after he jumped. I was like "what the hell?!". I thought we were going to have to wait until series 3 to see that Sherlock had survived. So when I saw him at the very end I felt really really happy. However...

I have watched this episode (all the episodes) many times after that and every time I watch it Martin's performance makes me cry. He is so brilliant in this episode. He is always great as John but in this episode he really shines. The scene at the cemetery breaks my heart. His pain is so deep and so raw that my heart literally hurts. I know he was nominated for a BAFTA for this series but I still feel that he didn't got all the recognition he deserves for his performance. He was beyond brilliant, especially in this episode. 

The second most emotional part in this episode (for me) it's the conversation right before Sherlock jumps. Both Martin and Benedict are just perfect. Are Sherlock's tears real? I want to think they were. That even if he planned a way to survive still it is very hard for him to say goodbye to his only real friend, disappoiting him and maybe not knowing if he is going to see him again. John's fear when he realizes that Sherlock is going to jump and the horror of seeing him dead and broken is also perfectly performed. I get more emotional every time I watch it. 

I would also like to mention a third scene that is especially moving and that is the conversation between Sherlock and Molly:

MOLLY: You’re a bit like my dad. He’s dead.
(She closes her eyes, embarrassed.)
MOLLY: No, sorry.
SHERLOCK: Molly, please don’t feel the need to make conversation. It’s really not your area.
(Molly cringes but continues.)
MOLLY: When he was ... dying, he was always cheerful; he was lovely – except when he thought no-one could see. I saw him once. He looked sad.
SHERLOCK (sternly): Molly ...
MOLLY: You look sad ... (she glances towards John) ... when you think he can’t see you.
(Sherlock’s eyes lift from the microscope and drift towards John who is looking through papers on the other side of the lab some distance away, unaware of the conversation. Sherlock turns his head and looks at Molly.)
MOLLY: Are you okay?
(He opens his mouth but she interrupts before he can speak.)
MOLLY: And don’t just say you are, because I know what that means, looking sad when you think no-one can see you.
SHERLOCK: You can see me.
MOLLY: I don’t count.
(Sherlock blinks and really looks at her, possibly for the first time since he has known her.)
MOLLY: What I’m trying to say is that, if there’s anything I can do, anything you need, anything at all, you can have me.
(She flinches and looks away briefly.)
MOLLY: No, I just mean ... I mean if there’s anything you need ...
(She shakes her head.)
MOLLY: It’s fine.
(She turns away. Sherlock looks shaken.)
SHERLOCK: What-what-what could I need from you?
MOLLY (turning back to him): Nothing. (She shrugs.) I dunno. You could probably say thank you, actually.
(She nods nervously but firmly. The side of Sherlock’s mouth twitches as if it doesn’t know how to say the words.)
SHERLOCK (hesitantly): ... Thank you.

I mean, there is so much insight in Molly's words. She has truly observed Sherlock and seen way beyond anybody else maybe beyond Sherlock's own perception of himself. I truly love this part. I think it's Sherlock's equivalent to the beautiful quote mentioned by Fetchinketch, one of my favorites quotes from the canon. 

*** Transcript taken from Ariane DeVere's blog

I especially love Sherlock's broken "You." when Molly asks him what he needs. 

Well, of course I knew Sherlock would survive the fall (because I know the canon and because when I began to watch the series I already knew that a new season is about to be filmed ). Still, it was heart wrenching). Martin Freeman's perfomance, of course, but also the suffocating atmosphere of the second half of the episode and Sherlock becoming more and more hunted animal, outmanoveured by Moriarty and KNOWING it. His face, from the moment of the little girl's scream is kind of a mask of frozen terror and desperation, his occasional outbursts (with John "don't you see...", later in Kitty's flat "stop it") show the depth of his helplessness. The conversation with Molly, rooftop... yes, I know we will discover he had a plan and he was not as powerless as he seemed, but still it was a journey to hell for Sherlock and BC conveyed it superbly.

The first time I watched it, I had no idea what would happen, but of course knowing what happened at Reichenbach in the canon I suspected he wouldn't really die. I did find it painful to Watch though, because of John's pain but because also of everyone believing Sherlock was a fraud and bad-mouthing him.

I agree.
He cares for his friends, not himself.