Shadow: Maria... this is what you wanted, right? This is my promise I made to you.
What also makes it is the people of Earth realizing that they're saved, they're not going to die...and they all cheer him.
The closing cutscene after the True ending to Sonic Adventure 2 gives closure and underscores the tear-jerking nature of Shadow's heroic sacrifice. Three words: Rest easy, heroes.
As narmy as the theme songs are in SA2, it's kind of sad listening to the full version of Unknown from M.E. Though there are obvious offenders ("But every time he looks for the sun can't find it") the worst line is rather difficult to make out the few times you hear it: "Freedom will be waiting when serenity is restored". We never really get the idea that Knuckles resents the whole 'guardian' thing in-game (a little in the original SA, but not here) but there are a few other lines that reference 'fighting for his destiny'. It's a little depressing to think that he may be fighting for freedom from his duties when it's quite obvious that it's not going to happen. (Of course, the lyrics switch focus so often that it's easy to forget the above)
SA2's ending, if not for Shadow's sacrifice, then for the heroes and villains' conversations with one another. Tails and Eggman's heart-to-heart, in particular...
Eggman: When I was a child, I looked up to my grandfather for all the great things he accomplished in his life. He was my hero, and I wanted to be a great scientist like him! But...did he really mean to destroy us?
Tails: I dunno, but what I do know is...we all did it together!
Eggman: ...You're right.
For True Story, the boss music during the Sonic vs. Shadow battle, is narmy for sure, but if you can look past that, it's also very sad, since it paints a picture of Shadow's bleak despair. Stars don't twinkle, the moon doesn't shine, stars don't twinkle, the moon doesn't shine...
Sonic's goodbye, especially since he was unknowingly echoing Maria.
The back-story of Shadow was quite sad: he had a happy life that was taken when the government stormed his home and killed everyone there, under the pretense that he was a danger to everyone. He watched Maria (essentially a sister to him) die in front of him, and his "father" Gerald was arrested, went insane from grief (a Tear Jerker in of itself) and was executed. And then they locked him away for 50 years, of which he was likely conscious the whole time.Shadow really needs a hug.
In some ways the Biolizard can be seen as this. It seems to have trouble breathing, needs to pause every once in a while to catch its breath, and relies on a life support machine to survive. It's almost a mercy kill when the heroes finally put it out of its misery.
In Chao World, there is the option where you will have to send your Chao through the Chao Transporter Machine. As you choose to send your Chao away, the description reads "Your Chao will live a happy life in a faraway forest. You will never see your Chao again." The music that plays makes it even sadder.