Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Tear Jerker: Live A Live
Oersted's chapter. "As long as there is still one person who believes in you". Oersted clings to those words for dear life, when the kingdom believes he is the Demon King. And when he finally reunites with the princess, only for her to ask why he didn't try to rescue her (he did, above everything else), cries for Straybow (who betrayed Oersted completely), and commits suicide in front of him. Is it any wonder Oersted snapped?
Playing the epilogue with him as the protagonist and winning reveals that after all those snapping, Oersted finally realizes that it is Lonely at the Top. The last shot was Oersted hanging his head in loneliness and the words "Sad End". Pretty powerful, even for a someone who curses on humanity.
Indeed, there is no good ending for Oersted. If you win as him in the final chapter, he is left alone as described above. If you lose to Pure Odio, or choose Armageddon as Oersted, everything in all times is destroyed, Odio and all his incarnations included. If you defeat Odio and choose to finish Oersted on the peak, he dies with Alicia's name on his lips. And if you spare him, and defeat his final onslaught, he learns more of the human spirit, but still dies, cautioning them with his last words that anyone can become a demon, like him.
The Kung Fu Chapter. The story of the chapter is based around an ancient martial arts master who reforms and teaches three thieves, and teaches them his style of fighting. No matter what you do, though, two of them are killed in a brutal attack from a rival school.
This gets even worse on a second playthrough: the one who survives is the one who got the most training, because that one was well-trained enough to be able to get through the battle alive. No matter what order or how evenly you split the amount of training between them, there will always be one student who ends up with an extra day of your attention before the attack. The two you don't choose for that extra day? They die. Which means you are choosing which one lives.
At the end of said scenario also. After the pupil eventually proves himself/herself capable of kicking Odi Wan Lee's ass, the Master tells him/her how proud he is and dies due to his wounds from Odi's assassins, in front of the pupil, rejoining the dead pupils. The pupils' reactions would really invoke sadness, especially when said pupil is Li, who usually presents herself as a headstrong, impulsive girl, broke down screaming and for once called him 'Master', not just 'Gramps'.