This is based on opinion. Please don't list it on a work's trope example list.
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.
For her it begins even before the boss fight as she is flying through the burning forest begging for any one of her subjects to still be alive and answer her call.
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.
Somehow made even worse by Gallon's revelation that he now experiences all stimulation as pleasure, meaning the horror and grief he will experience from killing Cornelius will simply make him feel even better.
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.
To a degree, Gwendolyn versus Onyx. It starts off with a jilted, jealous, and enraged Onyx unleashing a brief but puissant "The Reason You Suck" Speech on Gwendolyn, starting off their fight. Even if you win, it's revealed that Gwendolyn dies in the fight. Onyx commands his Vulcans to leave and do as they please, while dragging his battered form over to Gwendolyn's body. Now apparently heartbroken, he mourns the fact that he always destroys that which he treasures most, and vows to hold Gwendolyn until the end (which, thanks to the fast approaching ocean, is probably mere minutes away).
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.
When Oswald, recovering from his fight with the newly hatched Leventhan, discovers that Gwendolyn gave away the ring he had given her as a token of his love. Poor Oswald is so heartbroken by the rejection, he can't even be bothered to try and fight off the Halja that comes for his soul a few minutes later.