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Tear Jerker / Dark Parables
Curse of Briar Rose
Briar Rose wakes up a thousand years after she fell asleep, and everyone she ever knew and loved is not only dead but largely forgotten.
In the unlockable bonus content, you learn that the prince who kissed her became gravely ill because of her curse, and died not long afterward.
And that prince's brother is the Frog Prince. Curses seem to run in their family.
The Exiled Prince
Pretty much the whole backstory of Exiled Prince, if you consider what the Frog Prince has had to endure.
Especially once you know the background of Rise of the Snow Queen, and realize that Prince James not only buried four wives, but after the fifth wife left him, he never saw her or their son again.
The Red Riding Hood Sisters
The Wolf Queen is revealed to be a missing Sister, Eldra, who only wanted to prove she was capable of being the Elder Sister. The Wolf King's talisman amplified her negative feelings and corrupted her into the Wolf Queen.
Raphael, who's in love with Eldra, is forced to kill her in order to prevent her world domination plot from taking place. He stays behind with her as she takes her last breaths and the fairy world collapses around them.
The Final Cinderella
The true reason Pinocchio is helping the detective? His mother, Amelia, is the Godmother - the villain whom the detective is seeking - and she blames him for the death of Geppetto. She coerced him into helping her find Cinderellas in order to revive Geppetto, and Pinocchio wants her to stop.
When the detective finally destroys the Evil Trees that have been possessing Geppetto and are the reason he became evil, Pinocchio asks the detective to leave him there, as he was crafted from the wood of the cursed tree. His parents, having been reunited in death after Geppetto is freed from the Evil Tree's influence, then use their remaining spirit magic to turn Pinocchio human after Katherine recovers his body.
Jack and the Sky Kingdom
Jack slowly turning into The Alcoholic because he feels so terrible about being the only one in his group able to escape from the Sky Kingdom.
Imagine how the detective must feel when Jack falls off the beanstalk. He sacrifices himself to protect her from Prince Leonard's wrath. Sure, he turns up okay later, but at the time she has no way of knowing he'd survive.
Mirror Ending: Rapunzel is freed, but Belladonna's powers hurtle out of control and she falls off the tower to her death.
Jewel Ending: The jewel seals Belladonna away, but Rapunzel follows her sister, trapping the two inside the plant.
The Little Mermaid and the Purple Tide
Althea's motivation for the entire game. She and her family were cursed into ocean creatures forever bound to the sea. While her four sisters managed to find the orbs and return to their human form, she's still unable to find the Wood Orb after many centuries and has to witness her father losing hope and succumbing to insanity.
Made even worse when you realize that after being uncursed, the other princesses couldn't help Althea or their father even if they wanted to, as losing their mermaid forms meant they couldn't survive the ocean depths to return home. They were forced into abandoning the others. The only one that didn't seem to care too much was Teresa, but it's hard to believe they were all like this. Naida, in the bonus chapter, appears to care a great deal about her sisters and would almost certainly have helped them had she been able.
The Thief and the Tinderbox
The ending of the bonus chapter is certainly this for anyone who was ever fond of Kai. Thanks to a duplicitous character, he's trapped on an island at the Edge of the World, and will likely never see his home or his friends Gwyn and Gerda again. The best he can hope for is that someone comes along who can be tricked into taking his place.