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Tear Jerker: Borderlands
The story and eventual fate of Hank Reiss in the Zombie Island DLC. His ECHO logs detail his love for his wife and children, one of whom made a macaroni hat for him that he wears every day. He ends up transforming into a were-skag and killed in self-defence.
TK Baha's death.
Every time you defeat a Rakk Hive. Shortly after collapsing, their innards appear to, quite literally, explode from the inside, exposing their ribcage and pulsating organs for all to see.. and the poor creatures are visibly still breathing.