In The Legend of Zelda: Twilight Princess, when Zant injures Midna. You then have to go see Zelda, who sacrifices herself to restore Midna, over Midna's protests. In the final battle, Ganondorf rides up with Midna's empty helmet in hand, and with an evil laugh, crushes it.
In the ending, Midna, now fully restored to her true self, returns through the Twilight Mirror to the Twilight Realm. Knowing that, with the mirror intact, that the events of this game are bound to repeat themselves, she gives a heartfelt goodbye to Link as she sheds a single tear which, after she transports, destroys the mirror, severing herself from Hyrule, and Link, completely. This, combined with the implication that she, not Ilia, is Link's true love interest, makes the punch pretty damn hard...
About halfway through the tutorial (when it looks like it's wrapping up and your adventure can begin) you village gets raided by Moblins who kidnap the children and beat Link unconscious before you can do anything. Your journey is basically your attempt to find them and keep them safe which turns into saving the world. Whenever you find the kids or Ilia something else happens to punch Link and the player (hearing how scared the kids are of the Twili monsters, Colin getting kidnapped (again) and so on), you really want to stab the shit out of Zant.
In the same game, Tetra, despite treating Link like dirt for most of the time, is a character who obviously loves her freedom, but you are forced to lock her away in Hyrule Castle, a hundred miles under the sea, so Ganondorf won't strangle her to death. And just to put the icing on the cake, he later on (surprise) kidnaps her regardless, apparently either knocks her out or drugs her off-screen, places her in a bed, and says and does some... uhm... interesting things while she is sleeping. Oh yes, it felt satisfying when Link and Tetra finally arrowed and stabbed that monster to death.
Wind Waker's plot is this to anyone who's played Ocarina of Time. The mid-game reveal that Hyrule was buried and lost under the ocean makes you feel as though all your efforts to save the kingdom in Ocarina were for nothing. However, since Hyrule was preserved in a magic air bubble under the sea, the game gives you a brief glimmer of hope that it may be restored to its former glory, only to have that hope blown to pieces in the ending when Hyrule is permanently flooded and completely destroyed.
Waking up from the 7 year stasis and finding that Hyrule has been turned into a Crapsack World by Gannondorf in what is for Link and the player a matter of minutes is shocking. The first landmark you can see coming out of the temple of time is Death Mountain, which is now on fire. It goes downhill from there...
The Legend of Zelda: Majora's Mask may have you find a little girl when Romani Ranch opens on the third day sitting on a crate, looking a little zoned out and wondering who you are. Once you can access the ranch from the first day, you get to know the girl, and she becomes an anchor for Video Game Caring Potential in one of the most "horrifying" games ever released by Nintendo.note If one chooses to interpret it that way. Then, going through her quest, if you fail, she's dragged through the roof of the barn, screaming in fear, and the third day cutscene if you fail to unlock the ranch (and especially if you fail to hold off the aliens, since it doesn't change) takes a heartwrenching twist. And it's all thanks to your incompetence.
Let us not also forget the way you acquire the shape-changing masks. And during the ending, when the Deku chancellor is in the cave you first came from, looking at a small tree with a face-like pattern on it (heck, when you passed it, Tatl will notice that it looked like a rather sad tree), and you realize that this is (probably) what happened to his son, and that the rest of him is locked inside the Deku Mask you're carrying and using to become a Deku Scrub!
What's worse is that while you can fix every other problem that people have in a single loop (barring one woman getting robbed), you can NEVER save Darmani (who is dead before you meet him), Mikau (who is seemingly erased from time when you get the mask), or the Butler's son (who is killed before the 72 hour loop begins). Darmani and Mikau beg you to save their people from destruction while the Butler's son just looks heartwrenching.
In fact, plenty of things in this game are smaller or bigger degrees of player punches, such as seeing the last remaining people in town on the third night, especially if you haven't helped them out as you should have, because then they will usually be miserable. Or such as being there when the poor sweet lady in the bomb shop was robbed, but failing to stop the thief. Or even worse, watching a monkey being boiled alive!
The game, especially in the early stages, is designed to be one continuous player punch. Literally everyone you meet has had their life ruined somehow, directly or indirectly, by the Skull Kid and his Mask, at least by the omnipresent threat of the falling moon. The cyclical time scale of the game means that you can easily, and often, unintentionally, see the horrific results of his 'pranks' without your intervention, and serve to fill the player with increasing resolve to ensure that things never happen that way again.
The Legend of Zelda: Link's Awakening uses this for its Bittersweet Ending. Mid-way through the game, you discover that the island you are on is nothing but a dream, as are all the people living there. This happens after an adorable cutscene with Marin, who has feelings for Link and is unwittingly trying to destroy herself and the island by waking the Wind Fish. Redeemed a little at the end if you win with no deaths — you see her flying away singing.
The Legend of Zelda: Skyward Sword has Link being berated by Impa after the 2nd dungeon for being too slow to get to Zelda. Impa also blames Link for not taking his quest seriously and how she had to be the one to save Zelda in the nick of time while Link took his sweet time to get to her. For the player, this can hit quite hard at first, especially if they have been goofing off by doing side quests. Impa drives the point home by coolly saying, "Do my words sting you, boy? Good, let them."
The Legend of Zelda: Oracles of Ages: at the start, Veran Body Snatches Nayru, the oracle of time, and starts rewriting history, with people dropping out of existence or turning to stone with their families panicking (one rabbit creature sees his friends disappear and freaks out before disappearing himself). While this is bad, it gets even worse because as the game goes on and the tower continues completion, things get more and more out of control.
At the end of Super Metroid, you find Samus nearly killed by a very, very large Metroid (it takes up 1/4 of the screen). When Samus is down to 1 HP, the Metroid pauses, makes noises, and leaves. During the final boss battle, Samus is about to die when the Metroid re-appears. It sucks the Big Bad dry and heals Samus. A second later, the Big Bad revives and kills the Metroid. Cue Samus going Mama Bear on the Big Bad, with a new Eleventh Hour Superpower. Said fight takes about 15 seconds.
Pandora's Tower will deliver these continuously if you dawdle around the dungeons long enough to let Elena's curse progress for more than two thirds. After the endless heartwarming moments you can have with her, watching her slowly fall prey to the curse and still try to go on as if nothing happened ("The floor is wet, mind you don't slip...") can be rather heartwrenching. And God forbid you let her humanity drop below the red threshold...
Especially if you cut the dungeon's first chains without much time left. You get to see Elena's condition all the same, except she is alone. The less time left, the more desperate she becomes.
A standout version of this trope is after you finish the twins' dream dungeon late in the game and return to Inoa Village to see it being burned by the Murgg in revenge for you defeating their king Zazan. The dramatic music and the sight of the corpses of several familiar characters among the carnage are just added sucker punches to this heartbreaking moment.
Shadow of the Colossus has a particularly poignant example of this. Just before you get to the final colossus, a collapsing bridge causes your faithful horse, Agro, to drop hundreds of feet down into a fast-moving river after throwing you from his back onto the cliff edge in a Heroic Sacrifice. The incident left players with a cold mix of anger and grief all throughout the final battle, summed up by a near-constant mantra: "The Dormin have taken everything from me. I'll complete my quest. This colossus will die."
The very first time you kill a Colossus. It's big, it's trying to shake you off, it's none too happy, and when you finally kill it, the mournful music and slow, stately, sad way it falls to the ground and dies is especially tear inducing. Some subsequent Colossi are less sympathetic, some even more, even considering your brief time with each one. This is, of course, one of the subtexts of the game.
Cave Story takes this to a terrible, terrible extreme. Balrog force-feeds Toroko red flowers under the Doctor's orders when King shows up and smacks him off. His attempted revenge on the Doctor is spoiled, leading to terminal injuries. Cue the player's arrival, and the Doctor bails after telling the three of you to "have fun", and the task of prematurely ending a frenzied Toroko's rampage is thrust into the hands of the player. King passes his sword off in the aftermath of the fight just as he dies.
A second example, if you follow the path towards the normal ending rather than the "good" ending. At the end of the level where Curly joins you in combat, Misery casts a spell to fill the whole room with water, and Curly gives you her air tank in a Heroic Sacrifice, which of course means she stays there and drowns to death. Especially hard-hitting because of how unceremonious it is; your character wakes up from near-death and sees Curly lying there motionless. When examining her, the description simply reads "There is no response", and all you can do is leave the room and move on.
Furthermore, during the ending sequence, you get shown a little cinematic of various locations around the island as it collapses. This includes a glimpse of the Core's chamber, complete with Curly's lifeless body, which is still in the exact same spot you left it.
There's even a second, arguably lesser example in the endgame. Just before the final battle, Sue Sakamoto and Misery are possessed by the distilled floating variant of the Psycho Serum and forced to fight against their will alongside the final boss.
But you know what's worse? Not the deaths of Professor Booster and Curly Brace, but the fact that you could have actually saved them if you knew how.
Even if you try to save Curly by tying her to your back, if you don't find the fairly out-of-the-way cave to store her, she will literally die strapped to your back.
American McGee's Alice does this a lot, and it's especially potent if you have any emotional connections to the original novels. The Mad Hatter crushes the White Rabbit and tortures the Dormouse and March Hare into insanity with his cruel experiments. The Jabberwock kills the Griffin, which is the final straw that triggers Alice's Heroic BSOD. And right before the final boss fight, said final boss kills your faithful companion the Cheshire Cat. By the time you hit the Red Queen, it's very, very personal.
Additionally, the Automatons you've been battling all through the Mad Hatter's asylum turn out to be created from Insane Children...
In the Xbox game Breakdown, on your way to the core, you see Stefiana Wojinskai, a scientist you met shoved off a cliff, and the badass Gianni, who is the only guy in the military who isn't trying to kill you, slowly dies in front of you because you couldn't get there fast enough. Then, after you kick the ass of the boss who kidnapped and tortured your love interest, he powers up and easily beats you down, and your love interest sacrifices herself so that you can survive... Don't worry, though, you fix things with your awesome glowy fists of justice.
Several in The Chronicles of Riddick: Assault on Dark Athena. First up would be finding out that the Ghost Drones are actually the inhabitants of the ships the Athena captures, with several parts of their body replaced with circuitry and robotics and their brain overridden with rudimentary AI, used as cheap labour and expendable Mooks. This becomes worse when you speak to Miles Redknox, who is undergoing the procedure when you find him but still has his vocal cords and his brain intact. Then, Silverman, one of the only likeable characters in the game and somebody you're planning to escape the ship with, is shot and killed by Jaylor. To make it worse, he then talks about molesting her corpse during the ensuing fight with him. Shortly afterwards, as you finally reach the escape craft and see Dacher, who's been helping you through most of the game, sitting in the control chair, you find that he doesn't greet you. He's had his throat slit by Revas, who is waiting for you, using his body to bait you into a trap. And after you defeat her and get into a smaller escape pod, to round it off nicely, Lynn, a child no more than eight years old who's been hiding in the vents, makes her presence known and starts hammering at the glass screen of the pod, crying "Take me with you!". Revas then reveals that she isn't quite dead, gets up, and grabs her just as soon as the pod drifts off into space. Shortly afterwards, Revas informs you via radio that Lynn is in for a world of hurt while Riddick is drifting towards a doomed planet with a missile from the Athena on his tail. Riddick might not be moved very much, but the player sure is.
While he doesn't die right off the bat, the brutal beating and kidnapping of Pey'j in Beyond Good & Evil has much the same effect. While he's put in peril a few times during the first portion of the game, nothing truly bad happens to him — until he and Jade decide to separate for just a few minutes during one part of the second dungeon. Just as Jade returns, she hears him crying out in pain — and is only just quick enough to see him get beaten unconscious by a pair of Alpha Section soldiers and dragged off through a door that slams shut in front of Jade as she tries to save him. For a game that's been fairly lighthearted up to the point, it's shockingly violent and depressing.
And another punch when the lighthouse is destroyed, causing Jade to almost give up in despair and grief over the loss of the children.
Legacy of Kain Soul Reaver 2: The Sarafan bastards had to go and cut out Janos' heart.
And unfortunately Raziel is powerless to stop it, as killing them would result in a Time Paradox. He'd already consumed their souls in the future, so things could get a little awkward.
What's worse is that, after discovering the deception, you can if you so wish head to the place where Rao was shown being murdered in a flashback. Do a bit of poking around and an unpleasant surprise awaits you...
You also find out how that creepy haunted ship from the first game sank in the first place, and for added ouch, one of the sailors will mention his son... who you may have encountered previously, asking when his daddy will be coming home. Oh, and watch Shiranui die, with all the residents of the village crying around him. This game does not hold back on the Tearjerkers.
NieR is pretty much nothing but a long string of Player Punches, starting from the end of the first act, all through each of the Multiple Endings. And that's just the main plot; most of the sidequests are equally as heart-wrenching, to the point where it's more of a shock if someone actually gets a good ending out of it all. It would take a block of spoiler text stretching over most of this page to recount every single punch in this game.
inFAMOUS 2's evil ending. Zeke has been spending the entire game redeeming himself as your friend, and coming to represent Cole's conscience. Even evil!Cole has qualms about killing him. Oh, and better yet: the player isn't let off the hook to let cutscene!Cole do the dirty work. They have to attack and kill Zeke themselves.
Making Zeke's death even worse is the fact that you're restricted to your first, basic bolt, you can't headshot him, you can't overkill him, you can't do anything to make it quick, you hit him with your weakest bolt, and he keeps getting up until the third time, when he just barely struggles to reach for his gun before the final blow is landed.
Considering all of the events of the first game were engineered by Kessler to jade Cole into doing the hard choices there are a large section of the game is filled with minor versions (especially when Kessler starts intervening directly in events)
Dan's death in Iji is completely preventable and means Iji watches her brother get electrocuted to death right in front of her, but that is only for starters. Afterwards, Iji suffers a complete psychotic break, utterly refusing to accept his death, holding conversations with herself as if they're still talking to her. Then Asha has the audacity to gloat about Iji's supposed "weakness", making it incredibly satisfying to give him a face full of shotgun.