There's that bit in the Big Bang Theory where Leonard's mother comes to visit comes to mind:

Leonard: [nervously] So Mother, what's new with you?
Mrs Hoefstader: Well I've been have some interesting menopausal symptoms recently.
Leonard: [coughs] I was thinking of something a little less personal?
Mrs Hoefstader: Oh, let me see - oh yes, your Uncle Floyd died.
Leonard: [recoils in shock] Oh my god - what happened?
Mrs Hoefstader: His heat stopped beating. [stands up] I need to urinate.

Which for me perfectly shows why a gentle warning preamble is probably a good idea - for really bad news.

For minor things, I suspect it's better to just come out with a kind 'I'm really sorry - I couldn't get the Jedward tickets that you wanted for your birthday.'