Stray Souls: Dollhouse Story: The main character Danielle frees the clown, who promises to free Sam, who's locked in a cage, and she's just about to be reunited... when the clown pushes her in and it turns out to be a mannequin. That's pretty harsh...
Worse (especially for players who didn't get attached to the cube, or had already given up on empathy when you have to use it to block a plasma ball) is the screams of the cheerily curious little Curiosity Core as it meets the same fate as the Companion Cube.
Ooh, what's thatYAAAAAAAAAAAAA!!!
Subverted early on in Portal 2: GLaDOS crushes Wheatley, the friendly, chatty, funny little personality core that was helping you navigate to freedom through the ruins of the Enrichment Center. Being an Aperture robot, he wasn't exactly attentive to your risks, and he very suddenly pops back up in Chapter 3 to help you out again; he's got a cracked lens, and occasionally twitches and throws sparks, but he's perfectly fine otherwise. But the real subversion kicks in when he becomes corrupt and villainous for the second half of the game, stopping your escape elevator mid-ascension. Given how he's less than compassionate even when he was helping you, his eventual fate doesn't fall into this category.
Played very straight with the dear old Companion Cube in Chapter 2 though, served with a hearty side of chain yanking. It's given no introduction, but players of the first game recognize it as their dear friend, and then...it disintegrates the second you pick it up. GLaDOS taunts you about it as she replaces it with a new Companion Cube, which she also destroys, so she can taunt you again with how very expendable the Cube is as she summons a third one you can actually use. Then the Aperture Science Material Emancipation Grill in that chamber just-so-happens to be broken, so you can even smuggle the Companion Cube out of the chamber...only for GLaDOS to destroy it as you step in the elevator.
I think that one was about to say "I love you".
Made worse when GLaDOS says that the Companion Cubes do have a rudimentary intelligence, and aren't just inanimate objects.
They are sentient, of course. We just have a lot of them.
The turrets. Oh god, the turrets. They have adorable voices, but you are often forced to kill them. As you kill them, they will say things like "I don't blame you" or "Good night" just to make you feel worse about yourself.
And if that isn't bad enough, look at the sequel. On the Turret Redemption Line, you can save a still-functioning turret, but if you try to take it into the next room, it disintegrates. When the defective turrets are flung into the incinerator, you can stand in front of it and save them, for which they will be joyful and say "Let's get this started! All right!" However, they explode shortly after you place them on the ground. Finally, when you switch it so the working turrets get flung into the incinerator instead of the defective ones, they shout things like, "But I did everything you aaaaaaasked!" and "WheeeeeeOH NO!" You also later get to see them in the moment they get crushed in between gears, still shouting.
Puppetshow: Return to Joyville has one for the Collector's Edition. You prevented the horrors of the first three games, but... Cricks is now ruling Joyville in a Bad Future where people go missing, everyone's on curfew and the Puppeteer is making robotic dolls for evil. Yikes.
And in Destiny Undone, you have to watch the ending where Cricks tosses acid to the Puppet-master and Felicia takes the blow, giving her the facial scars from the original games. Fortunately, the ending has her stating that she never goes through the events of Mystery of Joyville, giving her a happy ending.
In Mystery Case Files: Madame Fate, you search for all fifteen Circus performers and everyone dies/gets a bad fate. Madame Fate then realizes that the ghost was brought here because of you. After you complete one final puzzle from her, she dies. You brought back the ghost of Charles Dalimar from the previous game and he followed you here.
And there's actually another reason behind this. In Escape from Ravenhearst, you go to a replica of Charles Dalimar's past and find a circus cart and a poster from Madame Fate's circus. Turns out Charles was an attraction at Fate's Carnival and you brought him here to fulfill his quest to kill Madame Fate.
This is an understandable response to the bonus chapter of Dark Tales: Masque of the Red Death, in which your longtime friend and sleuthing companion Dupin gets shot in the chest right in front of you. Not helping this was ERS stating on their facebook page that Dupin would have a Shirtless Scene, bu not telling how he got it.