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Tear Jerker: Etrian Odyssey
Your Guild being forced to slaughter the forest folk in order to advance, for no other reason than to defend the town's tourism industry.
Etrian Odyssey II: Heroes of Lagaard
Discovering the fate of Guild Beowulf. Not only did three of them suffer Death by Origin Story, by the time you reach the fifth floor, you discover that Flausgul is already dead at the Chimaera's claws, and Kurogane is fatally wounded. The Trust Band he gives you becomes a Tragic Keepsake.
Depending on how you handle the Sadistic Choice, Hypatia or Agata's death. The only way to avoid this is by deliberately invoking What Happened to the Mouse?; otherwise, Agata either gets himself killed following your directions, or gets Hypatia killed investigating on his own.
Seyrieddying as himself in the Armoroad ending. After spending the entire game ranting and raving that his own sister is "nothing but a Deep One" and "must be destroyed", seeing him beg her for forgiveness with his last breath is pretty somber. Even Yggdrasil, the entity that turned him into the Knight Templar he was as the Abyssal King, feels sorry for him.
Really, unless you unlock the Golden Ending, the endings you can normally get are very somber compared to the previous games. Whether you side with Armoroad or the Deep City, you're ultimately forced to kill people you once considered friends, and who genuinely believe they were doing the right thing. Whether its Flowdia tearfully begging Seyfried to just remember his life before becoming the Abyssal King in the Armoroad path, or your party desperatly begging Kujura to stand down in the Deep City path, its clear that your victory came at a great cost...
Etrian Odyssey IV: Legends of the Titan
The ending to the game. And not because it's sad; far from it. In the end, you save everyone, even Baldur, and while the Medium can't just magic away the fertility problems the Empire is having and that may someday threaten Tharsis, the entire tone of the ending is "you know, if we just cooperate and pool our knowledge, we can probably find an answer". You then see the transformed, cosmopolitan, newly-multiracial Tharsis through the eyes of a new set of adventurers, and see that all your friends are okay (and are talking the player guild up), ending with "Whirlwind" (in his old getup and everything!) showing the new kids the ropes just like he did for you. All while this song is playing.
Once you're near the end of the Post-End Game Content, the people from Tharsis will start realizing that soon there will be no reason for you to stay on Tharsis, and your guild will leave. In other words, they know you'll stop playing the game. And they straight out say they'll miss you and some even beg you to come back. Yeah, go on, turn off your 3DS, you monster.