SaGa Frontier 2 has a couple of these, the most notable being Richard Knights' Heroic Sacrifice, where he jumps off a cliff to try and get rid of the Sealed Evil in a Can once he falls into its trap. This sequence is made even worse by the following scene showing the birth of his daughter.
The bad resolution of 'Inflitrate! Alexei Gang': the player must decide which of Wil's party members to send on the titular mission. If they choose Cordelia, it leads to her being discovered and Killed Off for Real, with Wil and the others rushing to her rescue too late. Made all the worse by the fact the player might've chosen them for this mission because they liked them...
After years of exile, Gustave goes to visit his estranged younger brother, who hated him for taking their beloved mother away. When Gustave passes on his mother's dying words, the spirit of their mother appears to the both of them. The men sort of reconcile after that.