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Tear Jerker: Silent Hill 4
The death of Cynthia, especially because she thought she was lost in a dream the whole time.
Henry's first meeting with Eileen in the hospital. She just barely survived her encounter with Walter, and waking up to see a man looming over her again frightens her so much that she starts crying hysterically until Henry calms her down. As bad as the eventual Escort Mission ends up playing out, that one moment was certainly enough to make players sympathize with her.
Despite the fact that he's been trying to kill you throughout half of the game, Walter's death is surprisingly sad. He's lying on the ground, reaching up towards the light at the roof of the dome you've been fighting in, whispering "Mom..." before finally dying. Just to hammer home the fact that all he really wanted was to be with his mother, his younger manifestation, who is still knocking at your apartment door, collapses and disappears. And then the door finally creaks open.
The "Eileen's Death" ending. Henry, master of Dull Surprise, sounds absolutely heartbroken...
The worst ending, where Henry failed to cleanse his apartment room sufficiently, and Eileen ends up being sacrificed in the final battle. Killing Walter turns out to be a hollow victory, as Henry presumably loses his freewill to a deadly-to-his-physical-body headache and does not seem like he is himself after that event. A view of Henry's "unholy" apartment as it appeared at the beginning of the game is shown as a news report is broadcasted on a radio, announcing the death of Eileen and the Police finding Henry dead in his bedroom, severely disfigured. Getting this ending your first time playing the game, you might end up feeling very depressed.