The third game makes it worse by making it canon that neither Miku nor Mio ever really recovered properly from their loss, and if they ever came close, then the sight of Mafuyu and Mayu respectively must have thrown them into an enormous state of guilt and depression, so much so that they were perfectly willing to accept their fate. Especially Mio.
The fifth game reveals that Miku was so unable to get over the loss of her brother that she goes through a ritual to spiritually marry him. It's also strongly implied that Mafuyu is the ghostly father of Miku's half-ghost daughter Miu. Speaking of, giving birth to Miu greatly reduced Miku's lifespan, so even if you get the good ending, she doesn't have long to live.
In the second game, there's nothing more heartbreaking than realising that you are the one who is supposed to kill your sister and then watching Mio, realising what she just did, run after Mayu's butterfly/spirit begging to not be left behind.
"Mayu! I'm sorry..! I'm sorry..!" All between desperate sobs of despair.
The Big Bad's story in the third game is one hell of a contender, never mind the actual ending of the game, which is more of a Bittersweet Ending. After longing to see Kaname for the last time, even to the point of having hallucinations, she finally has the chance to do so when he comes to the Chamber of Thorns to take her away with him to live happily ever after. She looks up...smiles...then watches in horror and the inability to do anything as he is murdered right before her eyes by Yashuu, and is forced to spend her eternity of sleep staring into the cold dead eyes of her lover until Rei comes along.
Despite having been terrorized by her for the last three nights or so, the flashback near the first game's climax where you see Kirie being dragged by her implacable guardians to her gruesome fate will rend your heart.
Her backstory is also heart-wrenching. Part of the ritual involves spending 10 years locked up in a cell in the attic. No one except the monks are allowed to visit her and when they do, they wear masks to keep her from seeing their faces and becoming attached to them. One of the major parts of the Strangling Ritual is to make the sacrifice so depressed and lonely that she wants to die. Mind you, this whole process starts when she's about 7-years-old. To add to it: Kirie ends up falling in love days before the ritual and in an attempt to keep the ritual from failing, the monks murder her lover and hide his body in a nearby lake.
In the second game when you go to Itsuki, the only person in the village who doesn't want to kill you, for help, and his window is closed. Then you finally get to enter the locked building...and see his lifeless body hanging from a noose in a vision. What's worse, if you check the window from the inside, it says that it is rusted shut and hasn't been used in a very long time.
Ruka finally reconciling with her smilingfather at the end of the fourth game, after trying to remember what his face looked like in the past when he was working (he had a mask on while working on the titular Mask of the Lunar Eclipse).
Some of the ghosts, despite being freaking terrifying, can still make you tear up. Take Chitose Tachibana from the second game, who is alone, terrified, and spends all her time crying and hiding. That was the only ghost this troper felt bad about exorcizing, especially since you have to repeatedly hunt her down. Or take the Kiryu twins (yes, those creepy "Why do you kill?" twins), who were forced to undergo the Crimson Sacrifice at around age five, and Akane Kiryu, the survivor, going into total depression aftwerwards, eventually having her soul stolen by a life-size doll of her sister that her father made to comfort her.
In the fourth game, Misaki finally remembers Sakuya, and begins weeping while embracing the doll that came to represent them both. Sakuya slowly steps forward and embraces Misaki, who is weeping inconsolably...and then Misaki collapses.
From the Photograph Ending, Misaki wakes up to see Madoka, appearing as she did before she died. She drops Miya to run up to her, who smiles at her before she joins the other spirits. In a way, it's Madoka congratulating Misaki for finding the truth about her friend, and maybe accepting the remorse she had for abandoning her.
When you realize that though Kei is the more stable of the characters in Fatal Frame III, how lonely the poor guy must be. His close friend Yuu is dead (to which Rei was too depressed to inform Kei of), both his friend Mafuyu and niece Mayu were spirited away, and his other niece Mio is afflicted by the Tattoo Curse. Indigo, the color of his tattoo, is the ink that represents taking on the grief of others. While he is not the one who mourns for them directly, he is still affected by their deaths. What drives it in is him pleading in his sleep for his friends and family not to leave him behind.
In this troper's first playthrough of Fatal Frame, she noticed in the Second Night: Demon Tag a letter the third child left before his death via the hands of the Long Arm Man. It's the statement of him waiting for his friend to find him and having a crush on her, and the fact that waiting caused his death that brought this troper to shed a tear.
The ending song of 3, Koe (Link with lyrical translation). Especially tragic if you understand the lyrics which strongly imply it's being sung from Reika's perspective.
The final verses, which thunder on as Rei tearfully screams for Yuu's ghost to not leave her again, are particularly gutwrenching. Loosely translated, they claim that "the piercings aren't enough", and the heartbreakingly relevant "Your voice is fading into noise".