None of the bosses which are obviously sapient show any hesitation in attacking Mario and Luigi while they are carrying their baby selves on their backs. Not to mention that killing their baby selves would affect other characters more than just emotionally. This becomes despicable and heart-wrenching for the player when the adults faint and cannot continue battling, prompting their baby selves to drag them away to safety and you are left...fighting the ruler of an entire race of aliens...as toddlers. To make it even worse, once one of the babies faints the one that's still standing will cry out the name of his fallen brother in grief, run over to him, and attempt to continue to survive enemy attacks while carrying his unconscious brother on his back, noticeably strained by the weight. To make matters worse, it makes it much harder to dodge enemy attacks, making it all the more likely for you to fail in doing so and letting the last brother awake get K Oed.
The credits sequence in Mario Kart 64. There's just something about the music and the panoramic views of the tracks that makes the tear ducts flow...
And as long as we're talking ending scenes that shouldn't be depressing but are: Super Mario RPG, which not only has the music but also scenes of people you've met throughout your journey getting their wishes finally granted. And just when you think it's over, the main Super Mario Bros. theme starts playing on a music box...
The storybook segments in Super Mario Galaxy. The art style and background music is slightly heart-rending to begin with, but it gets worse when Rosalina admits to herself that her mother is dead.
At first the music is just like all of the other storyline segments but after the playback of young Rosalina's memories the music changes as she has a complete breakdown.
Rosalina: I want to go home! I want to go home right now! I want to go home! I want to go back to my house by the hill! I want to see my mother! But I know she's not there! I knew all along she wasn't out there in the sky! Because...because... she's sleeping under the tree on the hill!
Not to mention the game's ending: If you cried, then the creators did their job. If you didn't cry, you don't have a heart. All of the Lumas die due to what appears to be the universe ending... followed by muted baby cries, representing that they have been reborn.
When your Luma chirps and waves goodbye to you before hurling itself into the black hole...
Related to this, if you finish the game with all 120 stars, the bonus scene after the credits will likely have you crying tears of a different sort; after Rosalina says her farewell and her ship takes off, the camera pans to a small planet and zooms in to reveal your Luma peeking from behind a rusted mushroom ship (presumably the same one from the storybook) and waving, alive and well after all... followed by a shot of the Luma chirping as it soars into the air.
The background music (a slowed-down remix of the "Good Egg Galaxy" level music from the first Super Mario Galaxy game) that plays on the World 1 map from Super Mario Galaxy 2.
In Super Mario Sunshine (Yes, that Mario), the mission "Chain Chomplings" you have to throw them into water, and in later missions, you don't see them ever again. This implies that you ''put them down''. This is painful when you compare Chomplings to puppies, and even more so for players whose dogs have died. On the other hand, though, one could see it as curing their painful burns, and have left happily afterwards.
The kicker? Mario didn't even get a chance to say "Yes".
Want something along the lines of Fridge Tear Jerker/Horror to add to that? If you aren't too wrapped up in the fight, you'll notice that FLUDD's dialog starts out normal, then gets increasingly broken. Considering a few things, like the fact that it doesn't look like he ever actually got hit during the fight, this implies either that he was steadily breaking throughout the entire game, or that Mario was handling him much rougher than he could take during the boss fight. And FLUDD was either too concerned with the task at hand (or at least helping Mario), or didn't know he was breaking until the last minute.
The whole section at Hollijolli Village really depressing? The music is eerie enough, but it's a town that got destroyed by aliens at Christmas. And they're pretty much using the souls of the towns people for UFO fuel.