Play either The Doom or Lost Impact, with the music turned up, and think about what exactly is occurring. Enjoy yourself!
All of the endings have Shadow figure out who he is... and there's the Slightly-Hero: Hero Ending. Shadow realizes all the damage he caused, and for the first time, is actually pretty sad about it. And the title for one of the routes you can take to get to it? Shadow'sSecond Death. He really sounds like he's contemplating suicide.
The Narm that is Vector's response due to his goofy voice and clichéd, unhelpful words arguably make it worse.
To some extent, defeating Sonic in the Pure Dark and Semi-Dark Endings. In hindsight, the fact that you majorly defeated everyone's beloved blue hedgehog along with Diablon and also the fact that Shadow pulled a Face-Heel Turn turning on all of the heroes makes this all an unpleasant sight.
At the end, when the President says "Even though we tried to destroy him, he still saved us." It brings to mind Sonic Adventure 2 and how Shadow sacrificed himself to fulfill Maria's wish despite his former Humans Are Bastards attitude. That one line perfectly captured Shadow in that moment. The piano tune over the credits didn't help matters either.
Also at the end of Shadow, Shadow standing aboard the ARK and looking at a picture of Maria before tossing it behind him and saying "Goodbye forever, Shadow the Hedgehog." Part of the impact may be from the callback to Adventure 2's "Sayonara, Shadow the Hedgehog."