About every other chapter in Heavy Rain qualifies, but to be short:
The first chapter is a slow, plodding piece about a birthday party. Ethan plays with his kids, designs a house, all that stuff (albeit with a very depressing, introspective piece of music playing in the background, giving the whole chapter an ominous tone). Then the second chapter starts with JAYSOOOOON! disappearing in a mall, only to be run over by a car right after Ethan finds him. The next chapter is two years later, with Ethan a despondent wreck, Shaun almost totally unresponsive, and the entire world going from bright and happy to grim and crumbling. A very effective use of Mood Whiplash.
This troper bawled for a good 5-10 minutes when Jason was killed.
And this troper had to turn the game off and lay down for a while shortly after the third chapter began. It was that depressing.
Related to the above, "I feel nothing but contempt for you, Scott. Nothing but contempt." Turns someone who's already queen of the Woobies into an even bigger one. All the worse if, like me, you played through the first time making Scott the nicest guy possible and shipping him with Lauren. Augh, that Player Punch...
Any ending where Shaun and Ethan live, but especially the Golden Ending. You went through five kinds of hell and the bullet point above, but it's all worth it, because you saved them and the surviving characters can move on with their lives.
The scene where Madison visits Ann Sheppard in hospital. Watching this frail, desperately lonely old lady attempting to remember details about her past is just incredibly sad.
Especially when she gets to remembering about her son, and how she couldn't visit him after she got sick. "He must have thought I didn't love him anymore..."
The absolute worse. Maybe it's the way it was delivered, maybe it was the circumstances that lead to it, but it's devastating: "Don't forget about me Scotty..."
Young Scott Shelby desperately begging his dad to come help pull his twin, John, out of a pipe that is slooowly filling with water. The drunk loser can't even be bothered to get up out of his lawn chair. And do remember that the reason Scott and John were playing in a construction site is because said drunk loser threw them out of the house.
If Norman fails to solve the final puzzle of the Origami Killer's identity, you're subjected to a scene in which Norman dies from ARI overuse. The sight of him frantically waving his arms back and forth in an attempt to cycle through the evidence and find the answers that will save Shaun's life - even as he slowly chokes to death - somehow manages to come across as both horrific and saddening. The final shot of him slumped over his desk with the ARI world storming on around him is even worse. The final cherry on the depression sundae arrives in the form of the Leitmotif playing: it's essentially the same piece of music that plays whenever one of the player characters die, but it's not loud and blaring like the usual examples; if anything, it just sounds low and despairing.
Actually, a LOT of Norman's endings are Tear Jerkers—in fact, the happiest endings that Norman can possibly receive are bittersweet at best. If the player fails all the QTE's and Scott shoots him, he gets this LOOK on his face that just says "well, this is it. And it's going to suck." Water Works are a-go.
A lot of the little things that the player can do really add to the experience and show how well the game was designed, but many of these things can be really depressing. The first level in Ethan's new house is probably one of the worst though. In addition to possibly treating Shaun badly (such as not reminding him to do his homework or sending him to bed without his teddy bear) the player can explore the house and find things such as an old video recording from before Jason died (viewing it causes Ethan to cry) and a drawing on Shaun's desk of the day his brother died, showing that even two years later the event still had a major impact on him.