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Tear Jerker: Saya no Uta
As it turns out, the whole damn game! Due to Saya being an Eldritch Abomination and Fuminori's nightmarishly distorted senses, both of them are surrounded by people who they cannot or can barely tolerate interacting with. Both are completely alone in a hostile and alien world. They fall in love, and it forms a bond that is truly unbreakable. Even in the midst of all the Nightmare Fuel, Nausea Fuel, and Moral Event Horizon-crossing, they somehow manage to stay sympathetic characters. Of course, considering the genre, there's really only one way it can end. Bonus points for the True Ending's End of the World As We Know It being completely overshadowed by Saya's goodbye, even though said goodbye is what causes the End.
Yusuke killing his wife and child (especially the child, when she's walking upstairs...). No one is safe and no one gets a good ending
Except maybe Fuminori, as Earth fuses with Saya herself, but it's still some good Tear Jerker.
The Everybody Dies ending. It's arguably the best ending for the world at large, since both Fuminori and Saya are dead now, but it's also the saddest as every character in the game is dead by the end of it. Also, the scene where the dying Saya lovingly caresses the dead Fuminori's cheek, while Kouji smashes her over and over again with a steel pipe, screaming at her to get away from him makes you feel tragic for both of them. For Saya for obvious reasons, and for Kouji because even after his entire world has turned upside down, still, in the end, he really loved Fuminori - his best friend.