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• The normal endings.
  • 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.
• 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. As well as terrify the living daylights out you.
• In the second game when you go to Itsuki, the only person in the village who doesn't want to kill/mame you, for help, and his window is closed. So then you finally go into the locked building...and see his lifeless body hanging from a noose in a vision. What's worse, if you then 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 smiling father 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.