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Tear Jerker: Advent Rising
In Advent Rising, the player has to make a choice, early in the game, between saving the main character's fiancee or the main character's brother, both of whom have gotten a fair bit of the player's sympathy by this point. Whoever you choose goes with you in the escape pod, and you get to watch the other one being painfully dragged away by aliens. Then a few levels later, whoever you chose to save dies anyway, by drowning. And then the one you left behind becomes the final boss.