Klonoa: Door to Phantomile has two—first, we discover that Klonoa was never a resident of the world to begin with, but is really a dream traveller destined to travel from world to world wherever danger goes, and that all of his memories of his life there were false ones implanted by his friend Huepow. Then, we have the absolutely gut-wrenching ending where Klonoa is permanently sent away from Dream Phantomile, just after Huepow tried in vain to keep him from being sucked away.
The scene where Klonoa's grandfather dies also deserves mention.
Super Metroid did this with the Metroid larva which imprinted on Samus as its mother at the end of the second game. Its kidnapping starts the plot of Super and when we next see it outside its little case, it's been mutated to a horrendously huge size. In a rather touching scene, the giant Metroid nearly kills Samus, but suddenly backs off when it recognizes its "mother." The Metroid is later killed by Mother Brain while rescuing Samus from her near lethal wounds. Considering you're given an ungodly powerful gun as the Metroid's last sacrifice, Mother Brain probably didn't have time to process that she was vaporized before you finish the monster off.
And on top of all this, the Metroid gives an absolutely pitiable death cry when Mother Brain blasts it. Try to find a Metroid fan who isn't affected by that sound.
What makes it even more of a Player Punch is that Mother Brain reactivates and starts blasting the poor Metroid with all her power, but the Metroid refuses to flee or even let go of Samus until the latter is fully healed. The Metroid's bright green shell and crimson nuclei darken gradually as the energy drain/Mother Brain assault combination slowly kills it, and any first-time player is likely screaming at the Metroid to go away before it really dies.
In Metroid: Other M, the scene where Ridley finally makes a full appearance and Samus flashes back to when he killed her parents; it truly drives home that while Samus is (supposedly) an ultra-hard, unstoppable Badass, she's that way a great deal in part because her parents were brutally murdered right before her eyes when she was just a little girl.note This is one of the many things about the game that gameplayers have taken issue with, and as a result has caused controversy over how Samus should be portrayed.
Sonic Adventure 2 has Robotnik apparently kill main hero Sonic, acting as a Player Punch for his sidekick Tails.
Sonic Adventure has E-102 Gamma's ending. An additional Player Punch is thrown in real life when you realize that his English voice actor actually died shortly after Sonic Adventure 2 came out and this was one of his last performances.
Emerl from Sonic Battle. They even dared to put in a Hope Spot moment before Sonic is forced to kill him. All of this because Emerl was nice to Eggman...
Sonic Unleashed has the song Dear My Friend, which acts as a player punch for those who were fond of Chip. Especially sad considering that he and Sonic will never be able to meet again.
In Mischief Makers, we have the main character MarinaTaking the Bullet for her friends and rendering her unusable for a while and sends Teran out as your playable character for the next couple of levels. This makes his boss battle against Calinathat much more satisfying.
Tomb Raider Underworld: Poor Alister. And as for Amelia Croft, it's a punch to both the player and Lara.
And in Tomb Raider (2013), where Roth gives his own life to protect Lara. This is a man who has acted as a father figure to Lara throughout most of her life.
The death of Dan at the hands of recurring villain Asha in Iji. There is a way to save him, but one you're not likely to find the first time you play the game.
For that matter, the death of Tasen Soldier KG111:PAIE and the rest of the surviving Tasen is fairly crushing. Three of them can, however, be saved.
Ape Escape had the villainous albino monkey Specter kidnap and brainwash the protagonist's friend Jake (the only person who would have been directly able to help him, and considering his superior jumping ability, he would have been a big help) and pit the two against each other three times, the third time resulting in a broken arm for Jake.
Jak 3 had that horrifying death scene with Damas. During said scene, we discover that he's Jak's father. Jak figures out right away, but Damas doesn't and he dies before he got to know the son he missed WAS Jak! Then Veger waltzes in and tells Jak that he knew all along that Jak was Damas' son, since he kidnapped Jak, and gloats about the fact that Damas never got to find out. Veger, YOU ARE SO GOING TO DIE! Too bad the game doesn't even give you the pleasure of beating him up, though he at least ends up humiliated.
Sly going to stop Le Paradox, only to disappear and be sent to Ancient Egypt at the end of Thieves in Time. Bentley is optimistic that they'll see each other soon, though.
Also, many players came to really love Arpeggio. But when Clockla killed him... CLOCKLA WILL DIE IN THE PITS OF HELL!
When Ignitus gets killed in The Legend of Spyro games, you really start pulling out all the stops.
In the Flash game The Company of Myself, it is strongly implied that something bad happened to the narrator's girlfriend, Kathryn. It still comes as a shock when you get to the flashback level where you have to sacrifice Kathryn to proceed.
Prince of Persia: Warrior Within: In case you didn't figure it out, that attractive woman who the Prince has been having sexual tension with for most of the game? That's the Empress of Time. And she's been trying to kill you. Oh, and you have to kill yourself. It Makes Sense in Context.
At the very end of Drawn to Life: The Next Chapter, the very world you've been working hard to save for the past three games is forced to be put to an end for the sake of keeping two characters alive in the real world.
In Mega Man 4, we have the revelation that Dr. Cossack was forced to work with Wily because he kidnapped his daughter Kalinka, which makes the boss fight against him that much more painful.
In Mega Man 10, right before you get to Wily's castle to look for a cure for the Roboenza virus he caused, Mega Man catches the disease, forcing Roll, who was already infected with Roboenza, to give the only cure capsule she has to Mega Man so he can have a chance at saving everyone else from being infected.
If you play as Proto Man, he gets sick, which forces Mega Man to heal him instead. Given the fact that Proto Man is already a Glass Cannon because of a glitch in his system, it's hard to see him with his system even more screwed up than usual.
Mega Man X's Zero ends up being a major player punch when, true to his name, he kamikazes Vile (the planes used at Pearl Harbor were called Zeros — although this is not the origin of his name). And it also seems that X himself channels the player punch by breaking out of an electrocage, having his health refill, and finally having his weapons restored.
The player punch feelings come up again after defeating Vile with the conversation, and gift, that Zero will give you if you didn't get the buster upgrade.
By the by, if this scene is too much for someone to handle in the SNES version, do not play the PSP remake. It's much worse.
And the favor is eventually returned in Mega Man Zero. Elpizo destroys X's body in order to release the Dark Elf.
This one is worse... because Zero made it in time, but was immobilized and could only watch helplessly.