This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Last Scenario
Ortas's and Felgorn's deaths.
The Reveal about Phantom/Alexander, plus his death.
The "goodbye" image of Esmerelda and Barasur you can see after completing the game. It's nice to see them so happy... Until you realize that this is the voyage where she gained insane powers, turned into an Omnicidal Maniac and lost her personality...
Castor's Villainous Breakdown following Helio's sacrifice. The guy is totally heartbroken over it (and feels responsible for it due to his own weakness), to the point where he refuses to get someone to fill his now-vacant spot on the Omega Team because he still thinks Helio will come back.