Grand Theft Auto IV: Either Roman or Kate must die to end the main storyline. Then when you get The Lost and Damned expansion pack, you meet the biker gang that Niko has run-ins with during IV, and characters that you (as Niko) killed are the Player Punches. It's somewhat lessened with Kate, as she was introduced too late and made less sympathetic than intended.
If you go after Playboy X, it's a standard battle to get to him, but Dwayne? One guy with a baseball bat is between you and Dwayne. The punch comes when you get to Dwayne, who offers no resistance, besides making you feel like a horrible person. Then you call Playboy X, who calls you "cold", gives you the money for the job and never speaks to you again. If that wasn't enough, Dwayne was probably the only character that Niko clearly respected, and one of his few actual friends.
Fortunately, unlike most examples of this trope, it's actually possible to avoid killing Dwayne. And if Playboy X being such a completely unlikeable character that you probably wanted to kill him at that point anyway wasn't enough, you get a decidedly better reward for killing him than killing Dwayne (Playboy's apartment as an extra safehouse plus Dwayne's friendship reward vs some cash, which isn't really significant by that point).
Grand Theft Auto: Vice City Stories pulls a particularly nasty one towards the end of the game. Louise, Vic's closest friend in Vice City and perhaps the closest thing to a genuine Love Interest in the series before IV, gets kidnapped by Jerry Martinez, who rapes her and then brutally murders her... but not without leaving her just alive enough for her to die moments after Vic arrives to rescue her. Then, just to rub salt in the wound, Martinez proceeds to taunt Vic all the way up to the end of the game about how much he enjoyed doing it. It makes taking him down second only to Frank Tenpenny in terms of overall satisfaction in watching a Grand Theft Auto villain die.
In The Godfather: The Game, your Love Interest Frances "Frankie" Malone gets abducted and murdered by Tattaglia goons, complete with a Hope Spot where Aldo briefly thinks she's made it... Nope. Okay, Tatty bitches goin' down hard.
Then followed by Monk's Face-Heel Turn and your having to put him down.
Red Dead Redemption has Luisa, a naive young girl, who Marston begins to take a liking to, rush at three armed men with a knife to save her love, who is being held by the men, and get shot three times, killing her instantly. This appears to smash Martson's Berserk Button.
And then finding out that Luisa's "love" didn't even know her name? And that he turns out being a worse tyrant than the man Luisa and the rebellion were attempting to bring down? Ouch.
John Marston's death itself: Watching the character you played as for so long being gunned down by the law for no reason other than protecting his own family was heart-wrenching. It's made slightly better in that playing as John's son, you can hunt down the man responsible for payback. What makes the punch even worse afterward is realizing that Jack is now living the very life John was trying so hard to protect him from.
Even when you play as Jack, there is a giant, John-shaped hole in the game. The very fact that you are no longer playing as John is a punch. After an entire game of hearing John spur his horse, suddenly you hear Jack shouting "Hyah, mule!" It's a constant reminder that John is dead.
Every single stranger mission can end with a rather bleak outcome for the people John tried to help, or instead learning that the outcome was bleak from the start.
And pretty much all of Undead Nightmare. At the very start of the game you are forced to kill Uncle, and tie up your now zombified wife and son until you can find a cure.
Other then that, we also get to see the already Crapsack World be and even bigger crapsack, with recurring characters dying, or already dead characters being zombies.
The Birth of the Conservation Movements Stranger mission has Marston riding around Tall Trees killing Saquatches while under the false impression they eat babies. When Marston finds the last Saquatch, it turns out he's been killing peaceful, sentient, and docile creatures, which Marston tries his hardest to deny until the last Sasquatch begs for the Marston to kill him. The player can then decide to kill him or not.
If all the survivors in a town under siege by zombies die, the town and its save point will be Lost Forever.
There's a moment midway through Dead Rising that involves a side character and is therefore not plot-important, but it's unexpected, unpleasant, and potentially downright depressing nonetheless. Said side character is Cliff, a miniboss and an obvious Shell-Shocked Veteran who thinks Frank is Vietcong and attacks him on sight. Upon his defeat, the player is treated to a proper death scene as usual. Of course it's not until he's dying on the floor that he comes back to his senses, gives Frank a photo of his family, and explains that he went back to the war when he saw his granddaughter get devoured by the zombies. At least you can take his Weapon of Choice (a machete) afterwards and chop off a few heads for him, eh?
Also, if you get the real ending by doing everything right and fully investigating the mystery, you wander out onto the helipad to see if the affable helicopter pilot Ed has returned as promised. Ed spots you from another rooftop and gets all excited that you made it and that he's going to share the rewards of your success, and in comes the cavalry, cheering and waving at you. And then a zombie that crawled into his chopper at some point pops up behind him and tears his throat out. Poor Ed...
There was also a mission involving a woman who is hiding behind the counter in a jewelry store. When you talk to her, she says that she lost her baby. Frank, along with a lot of players, assumed that you'd probably have to go find the baby and bring it back to her safely. But no, she then tells you that the baby is already dead and that the zombies ate her right in front of her. "I've never heard her cry like that." She's so traumatized by this that she attacks you as if she were a zombie herself and needs to be calmed down before she'll actually go with you to safety.
Dead Rising 2 has a punch for those who saw the survivors they were rescuing as just mini-quests. The very first survivor you have to save is your daughter and she's been bitten by a zombie, so you need to find the cure or your daughter will turn into a zombie. And parents around the world have an entirely new nightmare to contend with.
The punch is a LOT harder inOff The Record. Chuck is re-imagined as a psychopath this time around due to losing Katey, and after beating him he takes "Katey's" (actually, a doll) now disembodied head, holding it to his chest and trying to reassure his little girl that she'd be okay, and then he wouldn't know what he'd do without her. Ouch.
Midway through the Brotherhood campaign in Saint's Row 2, Carlos, the guy who helped you break out of prison in the prologue gets kidnapped, and the mission consists of chasing the truck dragging him around by a chain. In the cut scene after completing the mission, you put him out of his misery.
The beginning has plenty of these too. The Saints are gone, Dex has become an enemy and Saints Row has become gentrified to the point of being completely unrecognizable. Then comes the death of Aisha, the brutal deaths of Kenji and Jessica and watching as your character murders Julius can all hit pretty hard in a game that is largely about goofy escapist fun.
The punches come harder in Saints Row the Third: Johnny Gat dies in the second story mission, and in a alternative ending also kills off Shaundi. Making the only remaining original members of the Saints left are the Boss and Pierce.
Believe it or not, Saints Row IV has an even harder punch. You've just escaped the simulation, grouped up with Kinzie and Kieth David, and are on your way back to Earth when Zinyak blows the whole damn thing up. Earth is gone. On the bright side, Gat is back!
The Legend of Heroes: A Tear of Vermillion: After a happy Hope Spot that suggests everything will go happily ever after, the main character's beloved sister (resident Living MacGuffin) is kidnapped and the main character's childhood friend who the story has been characterizing for the past 20+ hours of gameplay is apparently dead. And then the NPC's that you met earlier ask where your friend is. Ouch. At least he gets better though.
Grand Theft Auto: San Andreas has Madd Dogg, a famous Los Santos rapper whose rhyme book you steal, murdered his guards, and murdered his manager just to make OG Loc happy. After the Grove Street Family goes to shit, OG Loc rises to fame and can be heard bragging on the radio that he is a hardcore gangster rapper (he still sucks and is still a total wuss when you confront him later). Later on, you see Madd Dogg in Las Venturas attempting to commit suicide because he is a nobody after his career went down the drain. The punch comes from that you were the one responsible for his downfall and Madd Dogg doesn't even know about it. Luckily, you can save him and bring him back to his feet, but Madd Dogg never finds out the truth.
In Terraria: want to enable the game's Hard Mode and get access to a whole bunch of cool new stuff? You have to kill the Guide - the first NPC who joined you in your new world, and who spent the entire game up to that point freely sharing advice and crafting recipes with you. You are a terrible person!