This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Fatal Frame
Anytime an innocent person died because they had they misfortune to stumble upon the cursed location or happened to be in the area when the disaster happened. Not all them went painlessly. A lot have been haunting these locations for who knows how long, only being released when the curse is lifted at the end of the game. What's worse is if they were spirited away or simply disappeared, as their loved ones will most likely never get closure on what happened to them.
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 realizing 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.
In the third game's 11th Hour, choosing for Miku to head into the passage of the shrine instead of turning back and waking up. Miku runs off into the shrine, desperate to see her brother again and monologuing about her feelings for him, her desire to be with him and how guilty she feels. All the while, Rei is running after her and pleading with Miku to come back. She tells Miku, who is stronger than Rei, that she knows about the longing and how she felt it for Yuu, but that Miku can't give up this easily. The English voice acting, despite being a little lacking, still manages to convey the emotion of the scene well.
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.
When Rei enters Yuu's room for the first time in 3, there's a brief moment of Yuu being on his bed and asking if Rei needs anything. She turns to answer, then stops midsentence when she remembers that he's dead. A very short scene near the beginning of the game and it can really hit home, showing how fresh the wound is.
Yuu: Rei. May I help you with something?
Rei: Oh, I just wanted to... ask you...
Just the fact that Yuu is Dead to Begin With. The game's opening cutscene shows the aftermath of the car crash, with Rei giving a horrified gasp as she discovers Yuu's body amidst the wreckage. Rei often makes comments about Yuu when examining things around the house, most notably his personal belongings. Imagine how hard it must be for her each time she has to enter Yuu's room.
To make matters worse, Yuu's room is completely dark, with no light being let in. It really sets the somber mood.
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. 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 afterwards, eventually having her soul stolen by a life-sized 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.
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."
The fifth game is absolutely filled with Tear Jerkers. Not surprisingly, considering it's major themes are suicide and joining the dead:
The fates of both Fuyuhi and Haruka. Both dying while searching for the other/being led to their death by the other's ghost.
Miu desperately searching for her mother. Then it seems like she finds her alive and everything will be okay, but then her mother disappears again and she has to go out and rescue her:
In Miu's bad ending: Her mother vanishes immediately after the curse is lifted, leaving Miu crying and all alone.
In Miu's good ending: Her mother stays with her, but considering she's is still suffering the consquences of giving birth to a Yomi Ko, it is unknown how long she'll be able to remain with her daughter.
And the best part? Her mother is none other than Miku Hinasaki, the protagonist from the first game! Ultimately Fatal Frame has no happy endings for anyone...
That fact gets even more depressing when you find out who Miu's father is. Miku is so unable to get over her brother's death that she bears his half-ghost child. Makes the ending of the third game Harsher in Hindsight.
Shiragiku's back story. Being born with albinism and deemed to not live long, she is selected to be a sacrifice before she is seven. Because of her appearance people shunned and feared her. All except her childhood friend, Kunihiko Asou, who she decided would eventually join her in death with the yuukon ritual. But then he forgot all about her and later fell in love with someone else, leaving her to suffer alone. Centuries later his descendant, Ren Hojou, returned to the now cursed mountain and Shiragiku tries to make him join her in his ancestor's place. But in both her endings she eventually decides to let him go and live on, content with the knowledge that her friend had remembered her after all.
The games Big Bad, Ouse Kurosawa, also had a sad story: She became a miko after her entire village had drowned in a flood, and then she was chosen to become the next great sacrificial pillar. Before dying she fell in love with the man who photographed her, Kunihiko Asou (again), but he left the mountain shortly after. As she was being sacrificed she had to endure a vision of all her fellow mikos being viciously slaughtered at that very moment. In her despair, Ouse's thoughts turned to her lover and she wished that she could have lived with him, instead of being together in death like she was supposed to. All this caused her ritual to fail and now she haunts the mountain calling for someone to die with her.
In Yuri's good ending: She accepts dying alone, after Yuri uses mitori on her to see her last moments and takes on her feelings.
Then we have Yuri herself, whose family died in a terrible accident, leaving her all alone. From this experience she gained a strong sixth sense which caused her to be constantly harassed by ghosts seeking her help. Eventually it became too much for her, resulting in a suicide attempt. She was saved by Hisoka who took her in and cared for her, but deep down she still feels terribly lonely.
In Yuri's bad ending: Ouse asks her to join her in death, as she was the only person to ever understand her. Yuri accepts and embraces her as they both fall into the night spring, appeasing it. Hisoka watches all this in horror and is left to lament her failure to save Yuri. In the last scene we see Yuri and Ouse peacefully sinking down, still embracing.
Hisoka witnessing Yuuri's death in the bad ending is especially cruel, as that would be the second time Hisoka has witnessed a young woman kill herself because Hisoka failed to save her. Especially after she managed to barely stop Yuuri from killing herself before.