Erana's story stretches all five games, and is just saddening to hear. Half-human, half-fairie, she wandered the world, making peaceful gardens for travellers to safely rest, and all the while fighting off evil. Then she went to Mordavia to stop a cult from summoning an Eldritch Abomination. The Dark One started coming through, so Erana sacrificed herself to stop it. As a result, her soul was trapped in constant battle against the Dark One for two generations, and was losing the whole time. When the hero finally releases her spirit, she has enough time to thank him before passing on. It's up to the player to give her a happy ending in the last game.
Moreso of her youth, the fact Erana was a Half-Human Hybrid was what caused her to be shunned by both races, wandering a life of deep loneliness. The player's sacrifice of their vitality to resurrect her was the ultimate gift from possibly the only one who could offer her true happiness on the level of a spouse. Fail this by not gaining her trust or ignoring her otherwise after revival, however, and she will still revert to her selfless ways with no hesitation to throw away the second chance you gave her for another Heroic Sacrifice later on.
Nikolai and Anna in the fourth game. It's heart-wrenching to see how broken the old man is over losing his beloved all those years ago, and the conclusion to their storyline manages to be as sad as it is heartwarming.
Julanar's story in the second game. A woman who was captured by brigands, all because she wanted to be a healer, and who was turned into a tree by a Djinn so that she could escape from them, but was unfortunately doomed to remain a tree permanently unless someone breaks her spell. One of the quests in the game has the hero help her to remember her humanity, and she thanks you by giving you a magical fruit. However, you cannot change her back, because only her true love can do that, and it is not you. This becomes a crowning moment of heartwarming, however, if you play the latter games, as you can tell a character in the third game about her and he will be moved by her story and say that he'll go visit her. You meet him again in the fifth game, and also the restored-to-human Julanar, who is his wife.
Katrina. Dear GOD Katrina. Shadows of Darkness was one of the few games at the time to have truly complex character development (this being the height of the 16-bit Era, so most games were still largely relying on Excuse Plots) and one of the earliest where the player could advance the story as if his character was actually falling in love with another character in the game (you even have the option to TELL her you love her at one point). Not only that, but you eventually learn that she was genuinely in love with you. And then she lets herself get manipulated into performing a Heroic Sacrifice to protect you from Ad Avis. It gets even worse when you read herbackstory, which unfortunately never made it into the games themselves. Her life has been one long Kick the Dog moment.
Fortunately, you can give her a second chance at life in Dragon Fire, but it's a shame that only the Wizard and Fighter can court her.