Made worse by the fact that you killed Quelaag, but the Old Witch's Ring makes you sound like her. So you're kinda exploiting the Daughter of Chaos and giving her false hope.
Solaire becoming possessed is bad enough, but is made undeniably worse by the fact that he's become delusional and believes that he's managed to finally find his own personal sun...
If the player kill the Giant Blacksmith, his final words are "Nighty-night...".
Killing Dusk of Oolacile also prompts a heartbreaking line:
Farewell... my rescuer...
Likewise, Siegmeyer's dying words (should the player opt to kill him) have him calling for his daughter. Try not to feel terrible about that.
The conclusion to the Siegmeyer and Sieglinde sidequest. When the former goes Hollow, the latter is forced to kill him. Siegmeyer is already dead by the time the player reaches them, with a grief-stricken Sieglinde standing over her father's corpse.
An alternate conclusion to the sidequest is no happier. Should Siegmeyer take too much damage during the fight with the Chaos Eaters in Lost Izalith, and survives the fight, he will die from his injuries. To make matters worse, he dies utterly miserable that he's "failed" the player character and his last words have him calling for his daughter, similar to if the player kills him.
There's a very subtle one involving Witch Beatrice. So you beat the Four Kings, quite possibly with the help of phantom Beatrice, and you're exulting and also wondering just when you're going to meet Beatrice for real, since she's helped you out via phantom sign twice now. And then you go beyond the Kings, and you see... a body with all of Beatrice's stuff on it. The item descriptions make it clear Beatrice lived centuries before you did and could help you due to Lordran's convoluted flow of time, but for your purposes, she's dead. She may have even tried challenging the Kings again after helping you.
When you get Great Gray Wolf Sif's HP down far enough, he actually starts limping and his attacks become slower. Given that he's a Punch Clock Villain at worst and one of the most beautifully animated creatures in the game, it's hard to score the final blow. Is it any wonder there are so many rumors stating you can spare him at this stage?
New hopes were given in a released DLC, except it's false hope, you still have to kill him, even though he recognizes you from the past but must reluctantly fight to uphold his promise.
Its all in true Dark Souls style ofcourse. One can only imagine how that conversation went with the designers "Hey guys, lets be nice to the players and make Sif savable in the DLC since they meet him as a puppy in the new content.." *design team look at each other for a moment and then burst into laughter* "Naahh lets make fighting him EVEN WORSE for them!"
Ceaseless Discharge seems like a one-off, gruesome monster that plays no point but to guard Lost Izalith and a decent armor set, set? Well, according to some hints in game and also outright stated in an interview with one of the creators CD there is actually a brother of the Sisters of Chaos, who was born covered in sores that constantly poured out lava. The Witch of Izalith and her daughters made the Orange Charred Ring to help him with the pain, but he dropped it and the ring was taken by the Centipede Demon. In the interview the director stated that now he's become a sad, twisted giant who's only form of solace is watching over his sisters grave and ignoring the pain from his the lava ceaselessly discharging from his warped body Bet you feel bad for chuckling at his name now, huh?
Logan's fate if you buy all his spells he will continue his research for what made Seath immortal. After defeating Seath and going back to Logan, he has gone completly mad from the research and disappears the next time you rezone. Upon going back to where you first fought Seath, you can find a now violently insane Logan with nothing on besides his signature hat.
Crossbreed Priscilla. Particularly, killing Crossbreed Priscilla. She's pretty much the only boss who, rather than preemptively striking, politely asks you to leave her alone. Even Sif just attacks on sight.
Even better: When you go into the Painted World and read up on the lore about a "life stealing abomination", you go in expecting to face a horrible monster that was once one of the greatest enemies of the gods. What you find instead is a depressed, lonely, and terrified young woman whose only "crime" was being born a half-breed, and practically begs you to just go away and leave her alone.
Seriously, you have to go out of your way, lore wise to meet and kill her. She even calls you out on this douchemenship.
Though many friendly characters will become Hollow, under the right circumstances, special mention goes to Laurentius of the Great Swamp. An all around Nice Guy, doesn't get offended if you decline to learn pyromancy or walk away while he talks, and has learned to shrug off any negative opinions on pyromancy; he's quite possibly the most genuinely kind NPC in the game. He's especially thankful to you for saving his life, and considers you to be a friend. However, if you show him either the Ascended Pyromancy Flame or any Chaos Pyromancy, he'll become excited and ask how you came across such powerful pyromancy. Opting to tell him rekindles the fervor he had when he first became undead, and he then leaves Firelink Shrine to track down Quelana so he can continue studying and mastering his art. The next time you encounter him, he's gone Hollow in Blighttown, mere paces away from where Quelana is located. He was right there, close to achieving his goal, and it slipped through his fingers. And even worse? The last thing he does before leaving is thank you for helping him once again.
And that knot in your guts will not go away easily, when you remember that unlike other NPCs who followed their personal quests and died, Laurentius is perfectly content to lodge in Firelink Shrine even after you have bought all of his spells or fully upgraded the Pyromancy Flame and doesn't stray off anywhere to hollow out. The reason he left for Blighttown is because of you, who just had to tell him about Quelana. You're just trying to help him, but you unknowingly sent your friend to his own doom.
Quelana comments when you first speak to her that it's very rare for a human to actually see her, which suggests that most people cannot see her at all. It's extremely likely that Laurentius had passed by her countless times in his search, never actually finding her even if he could have been close enough to trip over her as he went about his search. Undead become hollowed once they lose all sense of purpose, and the weight of failure crushed Laurentius like an egg; completely unable to find the subject of his search, who in all likeliness watched him stumble around the swamp like a blind drunk for hours.
The final section of the game deserves a slot here as well. You spend the entire game working up to this moment, ringing the Bells of Awakening, braving the notorious Sens Fortress, traversing the abandoned streets of Anor Londo, and overcoming all other obstacles to open up your final destination. What awaits you here? The Kiln of the First Flame. A wasteland desert made of ashes and partially melted architecture, completely quiet and devoid of life other than the few remaining Black Knights guarding the final area Dispatching these final enemies what is there as the final fight in this game? None other than Gwyn, Lord of Sunlight. Now reduced to the Lord of Cinder, having been BURNING in the Kiln ever since he first lit the First Flame. And to make matters worse? He gets no intro cinematic, no dialogue, you just have this once great man lunge at you as soon as you cross the fog, as a simple, elegant, and impossibly depressing piano piece plays as you fight this fallen hero. Both to accomplish your goals, and for this point it'd seem to be put him out of his misery
One Youtube comment described it as less an epic boss battle and more an execution of a frightened and lonely old man afraid of change.
The PC edition piles it on regarding the back story of Artorias the Abysswalker. Artorias was not involved with the Darkwraiths of New Londo. In reality, he was sent to Oolacile to destroy Manus, the father of the Abyss. Unfortunately, Artorias could not handle the pure blackness of the Abyss. He set up his blessed greatshield to form a magical barrier to protect his wolf companion, Sif, who at the time was an infant (though still the size of an adult wolf). Artoras was defeated by Manus and forcibly corrupted against his will. His companions, Gough and Ciarin both thank you should you Mercy Kill him.
Even more haunting is his cut dialogue that is found by mining the files of the PC version. Through it the player finds out that Artorias was not only aware of himself in his boss fight but also tremendously terrified towards the Abyss, miserable about his failure, and desperate about his own corruption.
One in the Duke's Archives. If you go down to the bottom of the prison area with the Pisacas and kill the others, you'll see that there will be two down there that didn't leave and won't attack you. As you approach them, you can hear the sound of two girls crying. They were most likely maidens like Rhea of Thorolund, kidnapped and experimented on until they became Pisacas like the rest.
After you kill Bed of Chaos, Quelana begins to warm up to you, even admitting that you've outgrown the title "fool". But after you've learned all of her pyromancy and fully upgraded your Flame, she says her goodbyes, remarking that since she has nothing more to teach you, your time together is over. She refuses to speak to you, and once she leaves, is never seen again.
For more obscure ones, look up "Prepare To Cry" on YouTube. The vid series talks in-depth about the lore behind each character, to the point that even Pinwheel becomes pitiable.