Shadow Hearts could be the Trope Namer. In the first game, the bad ending is the canonical one, wherein Alice's life slowly ebbs away on the train at the end of the game, culminating in her falling asleep on her lover's shoulder and never waking up.Shadow Hearts: Covenant, not to be outdone, has two tearjerker endings: the bad one, where Yuri loses his soul and all his memories, basically becoming a non-entity under the care of Roger Bacon, and a "good" one, where he's killed before his soul is finished being devoured, granting him a more or less happy ending in death with Alice. Then Shadow Hearts: From the New World turns it up by making the villains so sympathetic that it's almost tempting to let them destroy the world just because watching Lady and Killer die hurts so much.
Don't forget in the second game, Alice's attempted resurrection.
Hell, Karin from Covenant arguably counts as one of the series' biggest Woobies. She joins the army to restore her family's honor, and witnesses her unit get destroyed twice in the attempted occupation of a village. She learns from the psychopath who ordered the second destroying that her family is dead, and said psychopath is stalking her. She falls in love with Yuri, but knows Yuri still loves Alice, and despite her feelings never being reciprocated, she holds onto loving him anyway. Which makes the scene of Alice's attempted resurrection all the more poignant for her. Either it succeeds and Karin is reminded of Yuri's unbreakable bond with Alice, or it fails and Karin and team are forced to kill their friends performing the ritual. The cutscene ends - with Karin collapsed in front of the laboratory door, sobbing. Damn, Karin just can't catch a break.
Patrick, from the first game, just wanted to resurrect his wife, and ended up making a monster.
Cardinal Simon endured hundreds of years of abuse and hatred because he had the heretical idea of governing for the masses back during the Nuremburg trials. Even the real Roger Bacon, though his ideas were correct, but ahead of their time.
Grigori Rasputin saw his Mother Russia suffering and though the only way to protect her was to take over Europe by force.
Nicolai Conrad wanted the love of his life, and to reconcile with his father, and surpass Yuri. He never got any of them, and thanks to the blundering of Dr. Hojo, was taken over by a demon.
Masaji Kato, a minor character from the first game who loses Yoshiko Kawashima, his lover, attempts to make a clone of her through Ouka. When she dies, he completely loses it.
Grace Garland, or Lady is a creature purely driven by Malice, therefore, has alien concepts of right and wrong. But she tries to resurrect Killer through her kiss of Malice, and it doesn't work. She is devastated.
Yen Yen's death from Li Li's curse in Shadow Hearts. He dies in front of his older brother, who is powerless to help him. Sea Mother's little speech makes it all the sadder;
Sea Mother: Spirits in the heavens. Spirits in the heavens. Our proud fisherman will be coming under your care. Please be good to him.
Later repeated when Sea Mother dies while trying to free Li Li from her cursed existence. Alice gives her own speech.
Alice: Spirits in the heavens! Spirits in the heavens! Our beloved magic user will be coming under your care. Our wonderful, wonderful magic user... Please be good to her...
Yuri:.. yeah, spirits. Be good to her for us, won'tcha? See ya, Sea Mama.
Terry's death in Shadow Hearts is quite the Tear Jerker despite him being a very minor character. Made even worse when you then have to inform his wife and little girl about what happened to him.
From Koudelka, Charlotte, especially if you know about why she was killed. She was the daughter of a queen who had an affair behind the king's back. Her illegitimate child was taken from her and executed at a young age, her spirit doomed to wander the earth due to her hatred. When you give her the letters her mother wrote to her, Charlotte is so confused to discover that her mother cared for her and wanted to meet with her so much... but Charlotte died before her mother and the guards didn't let her receive any of those letters. Not only that, but she was so scared and confused about the fact that she was passing on to Heaven! Not only that, but also what Koudelka says to her after she passed on.
Koudelka: Charlotte...How does it feel to know that you're loved?
That above quote takes new meaning when you learn that Koudelka's own mother hated her because she predicted her father's death... but didn't do anything to save him. This led to Koudelka's Roma clan disowning her and her wandering the country, selling herself for a place to stay... It's worse when she says this, as she's already drunk at the time...