This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Shadow of the Colossus
"Poor ungodly soul."
Fits of these with the ending and a certain scene involving a collapsing bridge before the final Colossus.
After following you silently yet with utter devotion, your only companion in the vast empty world is lost. And to top it off, it was to save your bacon...
And when you finally confront the last Colossus, Malus, the tune that plays is one of the most depressing songs in the soundtrack. Demise of the Ritual has soft choir, somber music and a generally depressing feeling. Not only that, but consider that Malus himself is the last Colossus, the last earthly creature keeping the dormant shadows sealed. The entity your loyal horse seemingly died to get you to that point, making the song feel like a mourning to Agro, as well as Malus itself.
Here's an experiment. Try to look the Colossi in the eye before you kill them, then watch their slowmo deaths.
The Downer Ending, as you try hopelessly to fight against the current and see if the girl you killed sixteen colossi for is okay. Then you shed tears of joy when she wakes up to find your loyal horse who's Not Quite Dead, and then as the credits roll, the camera pans over the decaying carcasses of all the Colossi. So simplistic and honest, it's overwhelming.
What's even worse about the ending is that while you know that Mono's okay, Wander doesn't, since he's killed before she wakes up. He probably died thinking he'd failed her and that everything he did was for nothing.
YMMV, of course. There are all sorts of interpretations to this game. Wander sprouts horns near the end, and then turns into a Colossus, but it's implied that he may be able to someday atone for his sins. This may stretch believability in terms of how quickly it could happen, but at the end, Mono finds a baby with horns who could be Wander! So you could be crying tears of joy. Maybe.
It is Wander, because your controls can move it. And the game stresses the fact enough that you always control Wander (riding Agro).
Agro's apparent death before you face Malus. The platform she's standing on crumbles underneath her and she bucks Wander off her in time to save him. Things aren't better when Wander cries in anguish over his horse's tragic death. He already lost his girlfriend and now he just lost his Animal Companion.
It's even sadder when you realize that since Wander gets turned into a baby, he'll never find out that Agro survived.
Wander's pained face and outstretched arm towards Mono after one of the guards pierces him through the chest with their sword. He's either losing his own sense of self or dying, yet all he apparently wants to do is reach her.
The scene where Wander dreams about Mono coming back to life. Ten times more wibbling when he actually mumbles her name before waking up.
When you get to the end and fully realize that Wander, and by extension, the player is the real villain in this story!
When Lord Emon (who, from a certain perspective, is the villain) actually won.
Killing Phalanx is something of a traumatic experience, mainly because it never does anything to attack Wander, ever, even when he starts firing arrows at it and stabbing its weak spots.
It can happen first with Avion. One thing is to defeat a foe that starts attacking as soon as you are in sight, but Avion starts attacking only after YOU attack him first. The moment you see him crashing into the water there is a high chance you'll begin to seriously ask yourself "What have I done?"