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Tear Jerker: Metro Last Light
It's subtly implied, but there are hints here and there that even after only twenty years, knowledge about the Pre-War world and the surface world is slipping away. One soldier during the middle of a conversation about storms, stops and wonders if his son even knows what a storm is. At the Theater station, an old man tries to put on a basic shadow puppet show for some children of animals such as birds, swans and elephants, but only one of the children recognizes them with all of the others thinking that they are mutants. Anna even flat out says that trains seem like magical things that their children will most likely not know how to use, and their grand children will probably think that they were built by the Gods.
A couple of the ghostly flashback sequences in The Dead City are quite sad, helping to break up the otherwise tense and frightening atmosphere. Standouts include the one of children watching in horror as the missiles come down around them and the man sitting and softly playing the piano for his wife.
The Nazi mission in the Faction Pack DLC involves the Nazis just barely managing to beat down a Red Zerg Rush. While it is also a Crowning Moment of Awesome considering how heavily outnumbered the Nazis were yet they still managed to pull off an unambiguous victory, after the mission you're treated to a good half minute pan as the camera shows the dozens if not hundreds of dead Reds. What a waste.
The Spider Lair mission in the Developer Pack DLC is mostly about the horror, but looking at the whole scenario after completing it is rather sad. After hearing about the amazing treasures of D6, a trio of stalkers tries to make it big by finding their own D6, eventually making their way to an abandoned missile silo some ways off the main map. However, they find nothing but a massive nest of Spiderbugs, with Simon and Petrovsky quickly being killed by them while the remaining stalker has to fight tooth and nail to survive long enough to escape the nest. And when he does...he promptly gets ripped to pieces by mutants on the surface. The three of them were so enthusiastic about embarking on their adventure, and all it got them was a violent death, over absolutely nothing at that. Shoot the Shaggy Dog at its finest.