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The "victory" Median ending Revya contracts the Scarlet Iago and dies. As he/she dies, Gig is keeps telling him/her not to die, even saying that he could never replace Revya. He actually expresses concern over Revya as a person rather than just the fact that he's also going to die, which makes both of them dying and the souls ending up in Drazil's hands all the worse.
Shauna's death. If you didn't feel for her, your heart is made of stone.
Gestahl's last words to Reyva before his Heroic Sacrifice. Both the words, and the way he says them.
Gestahl: If I can grant my power to my child...then I have no regrets. I look forward to the new world you will create...the world you will lead. Hehe...hahaha!
So many in the Demon's Path, it's almost not worth mentioning them all since it would basically be a plot synopsis. Highlights include:
Slaughtering everyone in your home village, including two new parents.
Finding Trish, only to discover Hawthorne has raped her and either that or poison (or both) has completely eroded her sanity and left her a badly Broken Bird. Made worse a few chapters later when she dies and Shauna suffers a Heroic BSOD from which she never recovers.
Keeping one character alive simply so you can watch her suffer when you kill her best friend right in front of her.
Just watching how far Galahad and Thorndyke fall after you recruit them is pretty heartbreaking.
The Non Standard Game Over you get if you lose the final battle. Particularly when it's revealed that Danette opted to be sealed inside the Onyx blade with you so that you wouldn't be alone.
Hell, the ending you get if you win the final battle isn't much better.
In summary, the Demon Path is one hell of a Crapsack World. The fact that YOU are responsible for most of the tears being shed just makes it even more depressing.