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Tear Jerker: Max Payne
The death of Mona Sax at the end of Max Payne 2. Of course, you get extra motivation to complete the game on the hardest difficulty level and prevent it.
The deaths of his wife and infant daughter in the first game also count. Even worse, it becomes apparent that Max's last conversation with his wife; which he totally blew off, is not only the reason she's killed, but it was the very thing Max is trying to destroy in his downward spiral.
What's even worse is it's implied that his wife killed their baby in a drug educed frenzy, and Max killed her in a rage. Max does not have a happy life.
It's possible that that's just Max's Survivor Guilt kicking in.
The death of Vinni Gognitti in the second game, considering what a pathetic state he was in.
It's minor, but in the second game, when you discover the equipment the Cleaners have been using to spy on Max and listen to the wiretapping logs, you discover that Max is so broken up about Mona's death in the first game that he literally calls phone sex lines just because there's a girl named Mona working for them. And he doesn't even want dirty talk, just the chance to talk to her.
In the third game Max agonizing over not being able to prevent Rodrigo or Fabiana's death
