The last stretch of Stage 5 "Victim": while the tone of the game is rather sad, what with the crew of the Tetra being the last remnants of humanity and all, but the specific example is the moment where Gai does his Heroic Sacrifice.
In the epilogue, C.R.E.A.T.O.R. is never able to tell the clones of Buster and Reana about the Stone-Like and change the future. All it did is create a Stable Time Loop; there's no guarantee humanity can be saved.
Unless one counts Ikaruga as a distant sequel set in the same universe...
It happens all the time, actually. You'd be surprised at how much someone can change when under the threat of total annihilation if they don't reform.
The game's premise itself, particularly how it might feel being one of a few Sole Survivors of a race left in the universe in a spaceship that barely escaped the Depopulation Bomb, knowing you're all that's left and next-to-nothing about what caused it to happened in the first place. At the same time, you realize you'll have to return to the planet in a year or so when you run out of supplies. A few humans simply isn't enough to repopulate the human race, thus even if you manage to destroy the Artifact of Doom, there will be nothing but a dead, hopeless planet left.
Want it to be even more heartbreaking? A translation of the dialogue spoken in Stage 1 "Link"exists online; not only is it poignant, but it essentially proves the Stone-Like correct in its assessment of humanity.