Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Tear Jerker: Odin Sphere
Odin Sphere hits you twice with the deaths of Ingway and Mercedes.
Ingway is turned Darkova and controlled by the sorcerer. Cornelius is forced to kill him.
Mercedes dies after defeating King Onyx while the land of fairies burns to ashes. Right before the end, she remarks that she is useless after all, which isn't true, but she doesn't ever get to realize that.
If you go for the bad ending by pitting : Mercedes against Darkova, they just twist that knife.
Almost every single boss battle in the Bad Ending. You have to play through every combination in order to unlock the last scene and find out what happened to Cornelius and Velvet. Notable examples:
Cornelius versus Gallon, where even after defeating him, King Gallon keeps regenerating and explains that he can't be killed because of a curse placed on him in the Netherworld, and proceeds to swallow an exhausted, broken spirited Cornelius whole.
Oswald versus King Onyx, where Onyx provokes Oswald into a rage that makes him try to use his Shadow form too much too quickly and he transforms into a mindless Revenant (i.e. yet another shadowy victim of the Belderiver) who wanders off groaning Gwendolyn's name.
Mercedes versus the beast of Darkova. She manages to break the transformation, turning him back into Ingway, and confesses her feelings for him before dying in his arms, leaving Ingway to scream despairingly for the heavens to strike him down.
The Bad Ending, where you see Myris standing on what was the peak of Horn Mountain, only the oceans have risen so high that almost the entire mountain is underwater, and as "the last piece of land in Erion" crumbles beneath her, Myris prays that someone she loves will be spared and cries out, "This is a terrible ending! Who would wish for this?" before burying her face in her hands in grief and the screen fades to black...
Even Mercedes's good ending can count as one because she dies believing she failed. It isn't until she reveals her true name and the Oh Crap from Onyx that the player gets tears of joy instead, made better by the reveal that the World Tree grew from the spot she died in after the credits.
Odin's death at the end. The once mighty king, now a broken old man, has to watch as his entire kingdom falls apart around him. As the Halja surround him, he sees his daughter Griselda's ghost appear before him. Odin spends his final moments apologizing to his daughter for not being a better father and embraces her one last time. Then the Halja strike...
Oswald, after Melvin's rebellion fails and his strength is waning, learning that Melvin never really cared about him and only saw him as a tool for him to become king, and was even willing to sell his soul to the Underworld to make that happen. No wonder he just gives up when the Halja come for him a second time.