Jackie's girlfriend and best friend since they were kids, Jenny, is shot in the head by one of the Big Bads of the game while The Darkness holds him helpless, making him watch. Then makes fun of him when he breaks down. Watch it here.
It should also be mentioned that the player is much more emotionally invested in Jenny than in most other video game characters, because earlier on there is a bit where you just spend a quiet, cozy, tender evening together, giving the relationship a real-life feel to it that many games lack.
Most of the interactions with the dead WWI soldiers in the "Hell" levels. Some of them understand that they are dead, that they are in Hell, and are sadly resigned to their fate of reliving an even more nightmarish version of the war forever as far as they know.
The Downer Ending: Jackie finally gets the Big Bad, who is responsible for the death of Jenny. In the process he gives up his soul to The Darkness. At game end, there is a brief, dreamlike cutscene showing Jenny sitting on a park bench holding Jackie's head in her lap. Jenny has to tell him that he can't stay with her there, and Jackie tells her that he misses her so much. The final words of the game are Jenny whispering "Jackie, you have to wake up now."
The sequel gets even worse, if it were possible. During the entire game, Jackie is tortured with visions of Jenny, flashbacks of their time as children growing up, and even forced into a sort of holding area via The Darkness where he's a patient in a psyche ward, with Jenny as a nurse. Then, the ending happens. Jackie breaks out of the Psyche Ward, tears though the realm of The Darkness itself, and frees Jenny's soul from the confines of The Darkness. Cue hug and credits. What is even worse, is what happens after the credits. Control is returned to the player, and they themselves must finally let go of Jenny, who apologies to Jackie and states that she'll always love him....right before transforming into TheAngelus.