Gears of War 2. Tai Kaliso's suicide, and Dom being forced to kill Maria, both due to the inhuman treatment they suffered at the hands of the Locust.
Gears 2 you also gives us Benjamine Carmine. AKA, the little brother of the "voted most likely to die first" guy, Anthony Carmine, from the first game, and the rookie besides. Cue expectations of a running gag of Carmines dying the first chance the story gets. Then he doesn't die, and actually lives through most of the game, making him grow on you (and the main characters), having a few good moments along the way, making you think he might not die after all. Then, after getting a bit too enthusiastic, he gets himself shot, but lives (hey, he's not going to die after all)... long enough to slip out of the helicopter transporting the squad, fall into the mouth of a giant worm, get mauled by a parasite living in the worm's stomach and get partially digested by stomach acids. Next you see him, there's only half of him left, and he lives long enough to tell the squad to tell his family he loves them. Gears 2 was very good at that sort of thing.
Dom's death in Gears 3 apparently moved a staggering amount of the fanbase to tears. "Personal" doesn't begin to describe the war at that point. Hell, one time where his death is simply mentioned pretty much qualifies as this trope.
In Oni, Konoko starts off partnered with Shinatama, a remoteAI who monitors Konoko's progress (among other things). When Konoko starts attracting the attention of the Big Bad Muro, he has a squad of Mooks kidnap Shinatama, whom he then Mind Rapes for information. When he's done, he tortures Shinatama for the sheer novelty value, then abandons the near-dead body for Konoko to find when she goes a-gunnin'.
Which is made even worse when Konoko later confronts Griffin and finds that he's salvaged Shinatama's remains and hooked her up to an automated Death Trap, forcing her to defend him from Konoko, who she regards as a sister.
Wait, not done yet. It gets worse. In order to reach Griffin, Konoko has to overload Shinatama's mental barriers while avoiding her defenses. And how does poor Shinatama respond to this? She repeatedly apologizes and begs you for forgiveness.
After all that, do I dare mention the part where Shinatama wrenches her twisted form out of the aforementioned Death Trap and attempts to attack Griffin? Or how she is promptly gunned down for her trouble?
Army Of Two: The 40th Day. The choice at the end, and in a more minor fashion, every f%$&king choice in the game, will have you curse yourself. Especially the ending, which has you choose between your best buddy and the possibility of seven million deaths.
In Gun, when The Dragon unceremoniously murders the love interest you just met and protected from hordes of Indians on the way to the city. Right in front of the hero, too.
And oh, you make him pay. And you get to listen to him pathetically beg for his life.
Cole: This... is for Jenny. *blood spatters face*
The moment in Max Payne 2 when you discover that Vlad, whom has been thoroughly likeable and very much on Max's side since about halfway through the first game, is the Big Bad.
Two in Warhammer 40,000: Space Marine. Realizing that Inquisitor Drogan set you up, and watching Nemeroth stab Sidonius to death with his power claws.
About halfway through, Spec Ops: The Line, Walker and his squad come to an enemy base, and use a white phosphorous mortar to clear it. The section plays out like any other sequence in a war video game where the player rains death from above on his enemies through a black-and-white screen... until you walk through the base and see the devastation you've caused. White phosphorous horribly burns its victims, and the ones that die are the lucky ones — it's hideously poisonous too. The few survivors are moaning pitifully and often missing at least one limb. You can hear one man obviously still being burned alive and shrieking in agony, but there's nothing you can do to help him. Then Walker and his crew find that the place they though was a base was actually a camp for surviving civilians — or rather, the charred bodies of said civilians, complete with a woman desperately clutching her child to her in a futile attempt to save him.
To make matters worse, the white silhouettes of the civilians are somewhat distinct from that of the soldiers and tightly grouped together, as well as standing right next to an enemy vehicle. Hitting the vehicle will immediately cause the WP to spread throughout the whole civilian group. Which means that the player will likely be focused on destroying the vehicle, and think "Wait a minute... those don't look like... Oh, crap! NO NO NO NO!" and spend the walk through the destroyed camp not only horrified at the burned soldiers but thinking "Don't tell me those were civilians, don't tell me those were civilians..."
Also: In spite of Lugo's protests that there was always another way to deal with the situation, you have to use the mortar to advance in-game. Enemies will keep spawning until you die, and there's no way to get through them. Have fun coping with the fact that this was all your fault.
According to the devs, many elements of the focus groups who played through this sequence had to put the game down for a while afterwards. Which is exactly what they intended.
This is also a punch in-universe; Lugo, who objected to using the mortar in the first place, screams out, "[Walker] turned us into fucking killers!" Walker himself flat-out goes insane to bury his guilt and responsibility over the incident, although you don't find that out until the end of the game.
While this is certainly the most shocking moment of the game, a whole flurry of punches appear as well, such as Riggs sabotaging the water supply which Walker helped him steal, dooming the entire remaining population of Dubai to die of thirst within a few days; or Lugo being lynched, which Walker can respond to by killing the refugees who lynched him. And the worst part? All of these are entirely the player's fault.
Driven home when Walker is flat out told that all he had to do was stop moving forward. You realize he is actually talking to the player.