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Tear Jerker: Deus Ex
Many players take an entire tour of the DuClare mansion and talk to her constantly because of the sad story of what it was like to grow up the child of one of the heads of the Illuminati. It's genuinely sad and wistful, especially since her mother had just been murdered.
Nicolette:(on seeing her old home) Only in novels do places crumble to dust, when their spirit is lost.
Icarus seems to enjoy twisting the knife, as at one point in the game, he'll taunt "Beth DuClare has been dissected and placed in cryonic storage". Squick.
Fail to save one of the Rentons. Try not to feel awful watching the other's shock.
You have the option to Mercy Kill a plague victim in Battery Park. You might decline, since it's against the Law. If you do, he will still be around the next time you visit Battery Park and he will be even more sick. He sounds like he is about to die any second. Maybe you should have mercy killed him, after all?
If you rescue Lebedev from Anna and after you've completed taling with him, he'll say you'll have to leave because he can do nothing more for you in a mournful tone. He know he's going to be executed.