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Tear Jerker: Shin Megami Tensei IV
Issachar's death. Especially Jonathan's desperate attempt to find some way to save him, and Issachar's final words begging Flynn to become powerful enough to change the world.
When you get to the part of the game where you get to choose to go along with The White's plan or go against it, if you decide to reject their plan, you have to fight The White version of Issachar. When you defeat him, he asks the hero why he never saves him. It's striking if you had empathy for Issachar and felt bad about him dying earlier in the game. The White have some nerve to guilt-trip you like that.
Being forced to kill Isabeau in the Law and Chaos paths. Many players consider this one of the most emotionally powerful moments in the entire game.
In the Law and Chaos paths, Isabeau kills herself by slitting her own throat. Doubles as Nightmare Fuel when you realize that she would rather kill herself than follow you.
Or conversely, a Crowning Moment of Heartwarming, albeit a very morose one, since her stated reason for slitting her own throat is so that you aren't burdened with the guilt of having killed her with your own hands.
On a similar tack, when you go neutral and are found by Isabeau again, her reaction to you being alive and her not being alone anymore is going to get you right there.
On the same route, you can actually find the final volume of Rose of Versailles she's been looking for. Her reaction to getting to read it is priceless.
If you decide to go for the Bad Ending and accept The White's plea to end all existance by overloading the Yamato reactor. Burroughs still assists as Mission Control, but her lines take a notably sadder tone as she notes this is probably where you part ways. The way she says "Congratulations... on completing your objective." once you finish is heart-wrenching.
One Challenge Quest has you taking a picture of a ruined bar in Shinjuku for an elderly woman who says outright she doesn't have much longer to live. When you give her the picture, she reveals the reason that the bar was so close to her. She owned the bar and ran it with her daughter. Her daughter was murdered and eaten when the demon invasion first began 25 years ago.
Watching Walter and Jonathan's friendship break apart as their Law and Chaos alignments come into direct conflict. Unlike most games in the series, these two were True Companions, and watching them torn apart by some cosmic war is heartwrenching.
On a similar note, seeing Walter being reduced to nothing but a grotesque arm-fetus-thing for Lucifer is really sad, especially on the Neutral route, where he's reluctant to even fight you.
It's just as horrible in either Law or Chaos to hear them again, just once, as either Lucifer or Merkabah are dying. Jonathan just screams in anguish, asking what is it that you want, and Walter just crushingly invokes Chaos' philosophy; if he lost, then it means you're the strongest anyway. And then you either allow Merkabah to press the remote or return to see East Mikado in flames. Hammers down just how painful it is to change or to preserve the world.
In another similar note, the events at both the Blasted Tokyo and Infernal Tokyo are even more disheartening because that is the last time you get to work together with the both of them before the cosmic war completely destroys their friendship and no matter which path you take you have to face off against one, the other, or both in the endings.
Kiyoharu may have been a pitiable figure, but the Ancient of Days stomping on his faith and shattering it with just a few exchanges was just uncalled for.
In Infernal Tokyo, Kenji successully had the angels killed, stopping a nuclear holocaust, and prevented the Cocoon from leaving. However, they were unable to crack it open soon enough, and God's chosen within all died. A Demonoid in Infernal Tokyo's Shinjuku National Park laments his perfect sense of smell, as it reminds him of the smell of the scene when the Cocoon was opened and he found his daughter rotting inside.