This is a great question. All three plays are extremely tragic. The death of Julius Caesar, even by the hand of Brutus, the rape of Blanche and her admission into a mental institution are extremely sad and pull at our hearts. However, in my opinion, the most tragic by far is the character Oedipus. Let me give you three reasons for this.
First, Sophocles is one of the founders of the whole genre, along with Aeschylus. In this sense, we can say that he is ground breaking. To start something is harder than building on top of it.
Second, when it comes to Oedipus, he is incredibly noble as well as tragic. It is his nobility that make him even more tragic. His chief flaw was he wanted to help too much and he thought that he could do it. When people like this fall, it is particularly tragic.
Third, much was out of Oedipus's hands. The gods fated that he would kill his father and marry his mother. This makes him a victim in some sense, which underlines the tragedy.