This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / Shadow the Hedgehog
Play either The Doom or Lost Impact, with the music turned up, and think about what exactly is occurring.
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 broken up 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.
Vector's response and the fact Shadow just silently walks off without listening to him afterward makes it even worse.
To some extent, defeating Sonic in the Pure Dark and Semi-Dark Endings. In hindsight, the fact that you have defeated everyone's beloved blue hedgehog along with Diablon and the fact that you have turned your back 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 and Professor Gerald, 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."
The music for GUN Fortress, the final level of the Pure Evil path. It perfectly captures the mood of the level— humanity is all but wiped out, and you're storming their last line of defence. Regardless of if you go the "Hero" (more like Starscream at this point— given that in doing so, Shadow is betraying Black Doom to take over everything for himself) or Dark ending, the World is doomed.
Right before you play through The Last Way, Team Sonic, Amy and Rouge are all paralysed. Then Shadow takes off to stop Black Doom, and there's these words:
Rouge: (Desperate tone) Shadow!
Sonic: You're our only hope, now...
Shadow killing Dr. Eggman in three of the endings was pretty heartwrenching, especially considering that the game portrays Eggman as a morally-complex character who isn't irredeemably evil like Black Doom is. Seeing such a lovable villain get killed off, non-canon though it was, was a real gut-punch to the Doc's fans.
Watching the president's Broken Pedestal reaction to Shadow trying to murder him can be pretty sad.
President: Shadow? I...can't believe it.
One of the endings has Shadow lose all faith in humanity. To see somebody who made a Heroic Sacrifice for Earth just... give up on everything and go Laughing Mad is very unnerving. Not to mention the lack of emphasis on the Precision F-Strike, something setting it apart from most of Griffith's acting in the game. Even worse since he believes this is what Gerald wanted.