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Tear Jerker: ARMA
Finding Dixon's body in ARMA II PMC in the final mission of the "Truth" route. Made even worse if you don't stick together with Asano and he dies too, thus leaving you all alone to fight against the machinery of the world order.
The Eagle Wing mini-campaign (available in all versions after 1.05), after its first mission, where the world gets devastated by nuclear war. The soundtrack didn't help. At all.