If Jubei's friendship with Kotaro is high enough, then the latter will burst in during Jubei's final battle against Ginghamphatts and end up on the sharp end of said demon's weapon for his efforts. His death scene is extremely sad.
If Jubei has a low friendship level with Ekei, the latter will do a Face-Heel Turn and Jubei is forced to fight him. His death is also heartbreaking.
The scene where Ekei freaks out after rescuing a baby and refuses to hand it over to his comrades, because it reminds him of the child and wife he lost.
Onimusha 3: Demon Siege
Poor, poor Heihachi.
Onimusha 4: Dawn of Dreams
The two bossfight against Ohatsu can be this, expecially the second, where she's possessed by the Genma Insects. The music is very sad too.
Minokichi's (apparent) death is quite a low blow, but is how Jubei takes it that really sells it.
Soki's final sacrifice. And again, Jubei's reaction to it.