There's another Vault, Number 34, where the people inside were apparently given similar orders to the one in Fallout 3, namely, not to leave the vault, ever, even if it means you'll die horrible, horrible deaths if you don't. This becomes a serious problem due to food shortages causing a need for "population control", leading to a full blown revolution (thanks to the fully stocked armory inside the Vault, it's an extremely violent one, too, complete with bombings and everything) that ends up causing a reactor leak, killing some residents and turning many others into feral ghouls. The thing is, you encounter someone (middle aged) who left the vault a few years ago for personal reasons, and while in the vault, you get a message from someone trapped inside over the computer who needs to have access transferred to him in order to save his family. This means that these events happened weeks, or even just days, before the events of the game began. The irony is, just outside of the Vault were plenty of Golden Geckos, just primed and waiting to be shot and killed for dinner, which would be simplicity itself, given how heavily armed they all were (and they had plenty of Rad-X and Rad Away in stock to deal with the radiation). And had they been allowed to leave, they'd have found plenty of people to trade with for food. Heck, the ultimate irony is that their vault is practically directly underneath a sharecropper farm! There was plentiful food all around them except inside the vault that they could never leave.
In the quest Return to Sender, if you decide to turn in Chief Hanlon for trying to sabotage NCR's defenses at Hoover Dam he gives a speech over the radio confessing that he had done something wrong and shoots himself.
Rangers, this is the Chief. I know I can ramble on sometimes, but I need you to listen close for the next minute or so. I got some bad news. I messed up, made a mistake. I thought I could help us get out of here, but it didn't work out. Rangers get injured all the time, it's part of the job. But if you lose a few fingers, get a bad break, that's it. You step down. We rely on each other too much to let our infirmities become a liability. A ranger knows when it's time. Only I didn't. Somewhere along the way, something broke inside me. I couldn't find us a way out of this desert. I wrestled with it, and it took me down a dark road. I wish I could explain it to you. The old chief's finally at a loss for words. Send me all the Legion you can; I'll be waiting for them.
It's a tradition for every NCR soldier to write their own "if you get this, I'm dead" letter to their family and friends. Many of them are quite tragic. For example:
'''Letter of a Random NCR solider: "Dear Sister, They're sending me into the no-man's land tomorrow, and by the time you read this, I'll be dead. That means that once again you were right and I was wrong. Ever since we were kids, I was always a thorn in your side, always doing everything you told me not to. Now, as I am about to go off to my death, I realize you were only looking out for me all these years. I am so sorry. I can only hope that you can find it in your heart to forgive me. Kevin"
"For Carla." Especially traumatizing if you know the backstory. For those that were lucky enough to not find the letter yourselves, here's what was written on it:
'''Boone's letter to his wife: Carla, If youíre reading this, then you know. Sorry. Wanted to make it back home to you. The pension wonít be much but it should help you and the baby get by. Want you to remarry when you meet the right person. Donít want you to have to be on your own. Not sure the right way to say how I feel about you. Think you know already, though. Always seemed like you knew what I meant, maybe better than I did. Wish I was there with you now. There are things I couldnít tell you. Tried. Whatever you learn over time about my service in the NCR, hope you can forgive me. Lastly, know you were against it, but if itís a girl, want her to be named after her mother. Know itís playing dirty to win the argument this way, but too bad. Itís worth it. Craig"
There's also a NCR soldier who tells his little brother to avenge him or he'll haunt him for life. You'll find this letter on a corpse of a dead NCR trooper who's entire unit got wiped out.
'''To my brothers, If you're reading this, then I was probably killed by some slimy Legion scum who got lucky. Hopefully the bastard is dead and six feet under, but if not, you better avenge me or I will haunt you until the day you die. Quincy p.s. Kill all the Legion dogs that I wasn't able to."
Raul's backstory. In the 200 plus years since the Great War, he was forced to watch everyone that he loved or cared about die horribly around him and he was unable to do anything about it. First, his entire family, save for his younger sister, were killed right after the Great War; then his sister got tortured to death by raiders; finally, a women he loved was killed by another group of raiders. By the time you meet him, he's totally disillusioned of life.
The full story of the Sierra Madre. Let go, and begin again.
Christine's ending in particular. If you don't convince her to let go of her desire for revenge against Father Elijah, she dies in the hotel. If you do, she stays behind, watching over the casino and the villa for the rest of her life.
Christine's story in entirety is fairly sad. Starting off with her being very heavily hinted at being Veronica's lover before they were driven apart. Then she hears that her only love died in a huge tactical blunder, driving her mad with revenge. The only way to get this vengeance is to sign up with the Circle of Steel, enforcing the very ideals that drove her away from her love. She pursues Elijah only to be captured and tortured by the Think Tank, unable to read. Fortunately, she gets rescued. Of course, the only thing she can do is continue to pursue Elijah. She ends up at Sierra Madre. Then, she's trapped in a tube, just barely big enough for her, that is constantly doing surgery on her, eventually tearing out her vocal cords. When she is rescued, it's only to work with the very person who locked her in there, and for the very person she was pursuing. She has either the good fortune or the misfortune of meeting the Courier, who either saves her, or lies to her, promising one thing, while really taking her to her worst nightmare. Eventually, she either dies killing Elijah, or becomes the warden of what amounts to hell on Earth. All because she wanted to be with the woman she loved, and couldn't let that go.
Creeping through the poisoned streets of the Sierra Madre Villa, littered with the remains of those drawn to the treasure who succumbed to greed and set traps and taunts for their rivals...and coming across a box of supplies beneath the graffito "Whoever's reading this, I'm sorry you're here." A moment of kindness from the dead for the lost.
A possible ending to Dog/God's final quest "Put the Beast Down", upon finding them Dog has had enough of constantly switching between himself and God, and is about to detonate his collar, killing himself and destroying the Sierra Madre via a gas leak. To resolve this, you can 1: Fix the gas leaks and kill Dog, 2: Make Dog the main personality, 3: Pick God instead, or 4: Meld the two personalities into one. Choosing to meld them causes both personalities to end their conflict and warn you that they won't be able to remember you, and therefore not help you. Continuing the process creates a single personality, knowing nothing about where he is, but vaguely remembering that you've helped him.
Hearing God desperately pleading Dog not to detonate the collar is quite harsh. Remember, that's the same personality who constantly taunted you earlier.
Despite being a borderline evil Jerkass, God is utterly horrified that Father Elijah is using Dog to bring people to die in the Sierra Madre.
Dean Domino himself, despite being a greedy Jerkass, has a rather somber ending if he dies.
Dean Domino, entertainer, singer... thief... had his last show on the Sierra Madre stage. The heist he spent over two hundred years planning fell apart, just as the first, by underestimating his partner's strength. Not long after the Courier left the Villa, the lights in the theater shut off, one by one. Only Dean's Hologram remained on stage, singing silently to an empty room. Still... as consumed as he had been with its riches and ruin, the Sierra Madre had held him captive long ago.
Everything that happened to poor Vera Keyes. Hearing her wandering around as a hologram pleading with Sinclair to let her go is genuinely upsetting. She sounds like a lost child.
Walking into the Sierra Madre for the first time, seeing how intact it is, and listening to Begin Again... then realizing how the area is too toxic for the hotel to ever be used again.
Veronica's quest, where she tries to convince her Elder to open the Brotherhood to the outside world. You just know she won't convince poor stubborn-but-well-meaning Elder MacNamara, but it's heartbreaking to listen to her get all quiet and desperate as she tries.
Veronica: We'll die out.
MacNamara: [sadly] I know.
"Elijah's Message". After completing Dead Money, you can search Elijah's room in the Abandoned BoS Bunker. Inside, you can find a recording made by Elijah that can only be opened by Veronica. It's heartbreaking enough to tell her that her mentor and father figure is dead/trapped in vault forever, but when she watches the tape, it's clear she just fully realized what he'd become. To make it worse, we never find out what he said to her.
Craig Boone's stoicism and cold nature tends to make his own trauma all the more wrenching. Even his quest titles, "One For My Baby" and "I Forgot to Remember to Forget," hint at how his past often bleeds through his stoicism.
Craig sounds genuinely sad when you finally get him to open up, which makes it that much worse. He tries to hide it, but you can hear it in his voice.
Telling Boone to go back to Novac instead of the Lucky 38 can be depressing. He says something to the lines of "Well, I guess I'll go there, try to figure out what to do with myself. See you around." Especially bad if you've ever been in his room and seen all the drugs and empty whiskey bottles he has lying around.
A couple of of Boone's endings are quite sad as well, particularly NCR Victory + Vengeful Boone.
Once you get past the fact that Lily's a Nightkin prone to fits of psychotic rage, she's just a kindly grandmother who was dunked in a vat of the FEV. The fact that she's delusional and is constantly talking to you like you're her grandchild just reminds you that she's never gonna see her real grandchildren again. If you're in Novac with her, she may say "Look pumpkin! A dinosaur! Do you want to ride the dinosaur?" Now picture that as a nice old woman saying it to her young grandchildren.
She doesn't get any happy endings, either. When either completely forgetting her grandchildren or going on a futile search for them are the best ones, you have yourself a certified woobie.
The plight of the Nightkin in general. Normal people taken against their will and turned into schizophrenic monsters. By the time of the game, there are only a few who have some measure of control of their faculties. Even then, they're mentally broken down, replacing the commands of the Master with the voices in their heads.
Around Nipton, you may encounter a couple named Jacklyn and Tomas in a gunfight. If Jacklyn survives and you talk to her, you might mention the Sunset Sarsaparilla bottle caps. She probably won't know what you're talking about. So, just leave her to her business. And then proceed to have her open fire on you. After dealing with her, go to Tomas's body and read the diary he's been keeping. Things were apparently looking up for him after he met this Jacklyn girl. Then she found out he had some of the Sarsaparilla caps...
Oh, the Enclave Remnants. Not only do they make players feel like monsters for destroying the Western Enclave, but for leaving their citizens and soldiers to a Fate Worse than Death. Arcade, who was little more than a child when Navarro Air Force Base was overrun by NCR, is imprisoned and tried as a war criminal by the NCR in at least one ending, and simply because ''he was an Enclave citizen. And of the Remnants, while all their stories are heartbreaking, Orion Moreno stands out. He was loyal to a fault and believed with all his heart that the Enclave knew what was best for them. His Despair Event Horizon was flying away from Navarro as the NCR overran it, and he said to a young Arcade, "Kiss America goodbye, boys." The NCR took away the one thing that he loved more than anything else, and when the player meets him, they're harassing him for squatting. The local NCR are lucky the Courier arrived when he/she did.
Little Melody, a little slave girl at The Fort. Taunted by a dickish houndmaster, and doomed to spend her life being a piece of meat to the sexual predations of the Legionaries... If she isn't one already.
Randall Dean Clark's backstory from Honest Hearts, whom the Sorrows remember fondly as "The Father", is especially sad.
The crashed tour bus from honest hearts. Turns out the day the bombs hit, they were given a school group a tour... You find a whole bunch of children's skeletons, all innocent victims dead because of the war. War. War never changes.
In Old World Blues, when you get Dr. Borous to talk about his dog Gabe and the memories they had together. Also, hearing Dr. Mobius' regret about what has happened to him, his colleagues, and how the Big MT failed in its purpose.
Old World Blues in general. Your first encounter is with a bunch of goofy Mad Scientists. And they send you out into Big Mountain/Big Empty. It really hits hard when you visit Higgs Village. You see that the houses are nice and clean on the outside. Inside, they're a mess. They completed the brain-upload procedure. They go into their former homes. Dr. Dala attempts to hug a teddy bear. Borous tries petting an animal. 8 tries enjoying music. Klein is picking up a bottle of alcohol. And none of them are capable of interacting with the things that made them happy.
Speaking of dogs, the ending for Rex if you don't complete his sidequest is absolutely heartwrenching. His systems eventually shut down, one by one, until he eventually dies from his condition. Gets even more heartwrenching when you realize that you could've averted this easily if you just had gone through the effort to find him a new brain before initiating the endgame.
At the end of Lonesome Road, ED-E can choose to sacrifice himself to stop the nuclear warheads from raining down on the NCR and Legion.
Another one from Honest Hearts, in the backstory, is the sacking of New Canaan. The New Canaanites were good traders who willingly donated medical support and food to those who needed it. Documents from Van Buren also show that the New Canaanites were fully integrated (at least 3 ghouls, one of whom was a glowing one, and a nightkin were active members of the church and friends), allowed squatters to live outside the gates of the city (the only reasons they weren't let inside were security concerns and some moral objections) but they were always willing to help people. The White Legs butchered everyone in the city, killed in their beds, nailed their corpses to the wall and then salted the Earth there so nothing could grow again.
One death, who was described by Daniel, was Bishop Mordecai. Mordecai was old, disabled and leader of the their church short of Jeremiah Rigdon. He burned to death in his room.
To make matters worse, Ulysses told them to do it. He told them that to destroy New Canaan, they had to kill everyone. His tapes you find in a later DLC mentions that New Canaan made him think about his ways. He had helped destroy an ancient culture and beliefs pre-dating the pre-war world who only helped the weak. Even after all he did, he was wondered if there really was a place where this "God" exists with a twinge of regret in his usually Creepy Monotone.
The backstory of ED-E, as given in Lonesome Road, is absolutely heartrending. Whitley treated the little guy like a son. He even let him watch old-world Saturday morning cartoons!
And what's worse? you likely killed Whitley in Fallout 3 at the end of the Broken Steel DLC by either shooting him in person, or blowing up the base with the Killsat.
Many of the songs playing on the radio invoke this feeling, even the cheery-sounding ones. About half are sad love songs that ended or are implied to have ended poorly for those involved. Then, we have the ones that just make you feel so lonely as you walk over the many hills and desurt plains such as Lone Star and Shadow Of The Valley. Finally, there are some that are just depressing in the context of the game itself. (Love Me Like There Were No Tomorrow, for example.)
Johnny Guitar was a killer, possibly more than usual if you've got Boone with you. For some reason, a V.A.T.S.-assisted firefight just makes it worse.
Or, even worse, Where Have You Been All My Life. The song is supposed to make you warm and fuzzy. Now try to imagine the song from Veronica or Boone's perspective.
For some reason, there's just something especially sad about finally running into Dr. Mobius in Old World Blues. It's largely played for laughs, but anyone who's familiar with what senility can do with people can be hit a little hard by some lines. It gets better in that, after leaving your brain there largely for the stats benefits, it goes on to become something of his apprentice in its good ending.
The Legion's slaves. Unlike the slaves in Paradise Falls, they can't escape and those that did won't learn to know how the slaves who are inevitably left behind are savagely beaten by their Legion masters. This means they're unwilling to run for freedom even after you freed them and killed the Legionnaires.
It's hard to really find a way to keep everyone happy. Mr. House just wanted to save a part of his world, literally worked his ass off doing it (as well as a few other parts), and ... three out of the four end paths require you to kill him. And it's hard to not feel for the Brotherhood when your favorite companion is Veronica... but you wouldn't know from the game that you need a mod to keep them alive with House in charge. About the only ones who have a 'good' way out in all endings (save Legion) are the Followers and the Kings. And you have to be careful with the Kings.
Both Ulysses and the Courier, at least with Good Karma throughout the game, become woobies in Lonesome Road. The Courier suddenly learns that he destroyed a decent, genuinely happy community. Several dialogue options show the Courier denying any fault or blame, but picking these options easily shows that s/he's not trying to convince anyone but him or herself. Meanwhile Ulysses, though he's made many mistakes, you can see the regret he has for the massacre of New Canaan and for his lost tribe of the Twisted Hairs. He's a patriot without anything to be patriotic for, and the reason he's the man he is today is because the Courier destroyed the home he could've believed in.