Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Tear Jerker: House of Leaves
"It's okay. You can go now."
For bonus points, Danielewski's sister's (Poe) album Haunted ends with the same line, in a song dedicated to the memory of her father.
Towards the end of the book, as Johnny reaches his lowest point, homeless and near-insane, he suddenly comes across a pair of friends who take him in and help him get clean. Except he was lying- and not to us. He was trying to convince himself that someone would care enough.
"there was no tom there i was no tom there".
The pekinese story, anyone?
The end of every Whalestoe Letter: Love, Mommy. What makes it so sad is the fact that you can tell that she honestly, genuinely loves her son and misses him. This of course makes the next entry THAT MUCH WORSE...
The fact that Johnny's mother kills herself at the end of the letters. Amplified by the fact that she makes it sound like the Director is letting her out of the insane asylum.
The entire scene with Jed after Navidson and Reston find him and Wax in the labyrinth. You think "it's really going to be okay!". And then he gets shot right in the head. The worst part? He doesn't die immediately.