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Tear Jerker: Dark Parables
In Curse of Briar Rose, the fact that she wakes up a thousand years after she fell asleep, and everyone she ever knew and loved is not only dead but largely forgotten.
Also in Briar Rose, 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.
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 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 Evil Godmother and 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 is the reason he became evil, Pinocchio asks the detective to leave him by the tree 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.
The mirror and jewel endings in Ballad of Rapunzel.
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.