The deaths of King and Toroko in Cave Story, made worse by the player having to kill Toroko themselves after she's forcibly given the game's Psycho Serum. This is only made worse when you see the max level of The Sword. King himself appears as a ghost, attacking your enemies. And then, a couple levels later, you lose Dr. Booster and if you fail to get the rope, Curly Brace too. Curly doesn't even get a death scene. Just "There is no reply." from her drowned body after she gives you her air bubble. Thanks heaploads for the survivor's guilt, Cave Story. When you leave, the shutter closes behind you, leaving her to drown. Add in the spooky dark music, and the result is just... ugh. Even worse is when the entire island is breaking down, and it goes through screenshots of the island falling to pieces. And the second to last one you are forced to see is the exact same place where you left Curly to die. All set to gut-wrenchingly sad music. The dog you meet in the Plantation tells you to, "Say hi to Curly for me!" If you didn't save her, it's a real sock in the gut. And as if one evil moment wasn't enough, The Doctor then goes on to turn Sue and Misery into hideously mutated, mind-controlled puppets when he goes One-Winged Angel. To say nothing of whatever the hell happened to the Egg Corridor while you were in the Labyrinth.
Toroko's transformation guts you because it's a really hard boss fight, so you will probably have to watch it over, and over, and over...
Not to mention Toroko's theme. It's so carefree and happy, yet if you've played the game before, you know what's going to happen.
Ballos's story. Once a powerful magician who did nothing with his powers but use them for the benefit of his fellow citizens, his king decides that he's too good for his kingdom and has him captured and tortured beyond belief. The end result? He goes completely insane, and ends up destroying the kingdom whose people he once bore nothing but love for. Sealed off by his sister to keep his powers from harming the outside world, it's no wonder that when you finally meet him, he begs you tokill him. While maniacally threatening to kill you.