Dark Messiah features Leanna, a young mage who's attracted to the player character Sareth. About halfway through the game she appears to be killed by the main villain Arantir. The player can do nothing to help her and can only watch, this will most likely motivate the player to absolutely tear Arantir's lair apart in a fit of rage later on. It turns out she's alive and the player can rescue her, but at this point even after rescuing her the player now has a very good reason to want to slaughter Arantir and get the good ending.
Diablo II packs a Continuity NodPlayerPunch? If you've played the first game, you were attached to the town (as the game was 5% that town, 95% killing monsters underground) and some of the characters were close to your heart. In the second game, you teleport there to see the whole town burning and infested with monsters. That's the first punch. You see DeckardCain in a cage, being tortured in every way. That's the second punch. Then... you see Griswold, the kindly blacksmith as an incredibly tough ZOMBIE, a mindless "boss" coming to get you. That right there is a very heavy punch. Just to be extra mean, there are mangled human corpses lying in the spots that every other one of the townspeople occupied in the first game, and you can even find Wirt's wooden leg (but then, nobody liked him much).
To make it worse, Griswold is not entirely mindless. You can hear him say "kill me".
In short, nearly everybody from the first game was either killed or corrupted by demons.
Diablo III ups the ante. Not only is longtime fan-favorite Deckard Cain Killed Off for Real by the evil Maghda and her Dark Coven, but Leah, probably the most sympathetic character in the entire saga, who you have spent the entire game getting to know and love, is used by her own mother Adria as a vessel for Diablo himself to be reborn as the Prime Evil in the finale of Act III. Quite a few people from Diablo II get killed off as well, such as Warriv, the guy who took you from act to act in Diablo II.
Leah's death is bad enough, but as you're closing in on Diablo during the final act, her ghost is the very first one that Diablo uses to taunt you. And that's only the beginning — he uses the ghosts of other characters, most of them sympathetic, as you're closing in, including Captain Rumford, Marius from the second game, Mira from way back in the first act, and even Deckard frigging Cain himself. Dick move, D-man. Dick move.
Finding Warriv's corpse is bad enough to Diablo veterans, but then you read his journal, and realize his life had been absolute hell ever since the events of II, and he had come to New Tristram to get help in finding the cause of his horrible luck, but instead found only death. What really makes this a punch is that Warriv was actually one of the most optimistic and idealistic characters in II.
In fact, all of the assassin fights between ranks 7 and 2 are this in some way. Unlike with the first game, where almost all of the assassins you fight are either jerks or completely insane, none of the assassins at the end of the second game seem like true villains, and some of them even seem to be pretty good. The earliest is with 7th ranked Ryuji. After Travis beats him, he moves to either spare him or allow him to stand for an honorable death when Sylvia suddenly appears and guns him down for no particular reason. This entire span of the game's story is a huge punch, to show just how incredibly sick the entire assassination thing really is.