You might think it wouldn't be as bad in Untold, since The Reveal has already happened much earlier, but the game wastes no time showing you how seeing the ruins of a modern city affects poor Ricky. Then, during the fifth stratum boss's post-defeat monologue, Ricky's portrait stays visible in the background for a while and quietly changes to her "sad" expression without the game drawing any attention to her, as she watches the only other living human from her time die. And this is almost immediately followed by M.I.K.E. activating Gungnir on his own and the party being forced to take him down as well, leading to a scene where she's clearly teetering on the edge of the Despair Event Horizon, which reveals that M.I.K.E. was the one to comfort her when her father went missing. The endgame was not kind to her.
Etrian Odyssey II: Heroes of Lagaard/Etrian Odyssey II Untold: Knight of Fafnir
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.
Guild Esbat went through a horrific Trauma Conga Line. Artelind loses several of her guildmates in short order, one of them being her sister, who would be turned into Scylla after getting killed and having her body taken to the Overlord of the flying castle, the other being her guild's Gunner, who died to a Dragon superboss. This ends up breaking Artelind so badly, especially when she hears her sister's screams of agony in Scylla's cries whenever other Guilds attack and kill her repeatedly due to her respawning endlessly that she snaps and resorts to murder to keep other Guilds from attacking what's left of her sister. Thankfully, your party can knock some sense into her and help her recover her sister's jewelry as a Tragic Keepsake, for which she is immensely grateful. The quest to do so has a tragic undercurrent to it, as she snuck off without her one remaining guildmate and guardian Wilhelm to search for her sister's jewelry, such that he nearly mistakes it for her running off into the wilderness of the Labyrinth to commit suicide.
Everything about Bertrand's backstory. He was chosen as the Fafnir Knight even though it was another family's time to produce one, but agreed due to his father dying. Following his leaving with Violetta, his mother died and his sister grew ill. Worried about his family, Bertrand and Violetta agreed that he would meet up with her in High Lagaard again after checking upon them. But upon returning to his homeland, Bertrand was seen as a deserter and forced into exile along with his sister, his family's name being destroyed in the process. And after all that, he returned to High Lagaard to discover that Violetta was gone, having undergone the ritual herself to become the new Black Guardian.
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 her 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 it's Flowdia tearfully begging Seyfried to just remember his life before becoming the Abyssal King in the Armoroad path, or your party desperately 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
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.
Etrian Odyssey V: Beyond the Myth
Each of your characters can be given one of over 40 different voice options. And yes, each of those options does have lines for getting killed in battle and for a party defeat, much like Story Mode characters in the Untold games. Watching your party members fall to Demonic Spiders or That One Boss thus can feel less like losing some hired adventurers and more like watching your friends die.
One of the sidequests in the first Stratum shows the consequences of becoming an adventurer rashly without precautions: An older gent requests you to help him find his daughter, who ran away from home to become an adventurer against his wishes and advice. You are told that she wears a distinctive helmet, that you find perched amongst some bones on the 5th floor, alluding to her fate as her presumed attackers come after you next. His reaction when you return and deliver the tragic news is to break down in sorrow and regret.
Near the end of the sixth stratum, Arken finally receives a contact from her mothership, only to hear that it was a final message to her, stating the mothership was destroyed and she has to continue her mission alone. Despite being calm and collected for the whole game, the news causes her to break down into tears.
The bartender herself, during your progress through the Third Stratum, will confide to your party that she once took a friendship for granted and only regretted it after her friend passed away.