Season 4, episode 18. "Omnivore".

After Hotch had refused the deal The Reaper, the serial killer had went and killed 6 passengers on a bus, and the driver. His last victim's ring he placed on the driver's finger. Hotch started to blame himself, and he went into an alleyway, Rossi not too far behind him. Rossi then went on to say how it wasn't Hotch's fault. The killer decides who dies. Not Hotch. That seemed to ease Hotch's worries, as tears pricked his eyes, the first time he'd actually nearly cried in front of a team member.