This is based on opinion. Please don't list it on a work's trope example list.
Tear Jerker / The Legend of Zelda: Link's Awakening
The whole island is revealed to be part of the Wind Fish's dream, and when you wake him up so Link can leave the island, everyone you got to know in the game blinks out of existence — with the scene hanging on Marin singing for a few moments before ending. Put this together with the realization that the monsters attacking you were pretty much just trying to keep you from destroying their home, makes this a fairly depressing game.
It becomes even worse with the Grim Reaper and his last words upon his defeat in the Eagle Tower.
And the music that accompanies it, the Ballad of the Wind Fish... it's so... melancholy. (Listen to it here; the actual ending is more embellished, but the melody is so... haunting).
And your very last image of Tarin? Is him beaming and holding up a mushroom as he slowly fades out of existence.
Just the fact that Link, a courageous and well-meaning boy, a childhood hero to many, was deceived into completely destroying an entire civilization.
If you beat the game without dying, then Marin turns into an angel or a seagull, depending on the version, at the end instead of disappearing into nothingness.
After Marin realizes that Link is going to leave the island, and hints that perhaps she had realized the true nature of her existence, her only request was for Link to never forget her or her song. The character has never appeared or even been mentioned again in any other Legend of Zelda game. Ever. Twilight Princess's ending doesn't really compare to being obliterated AND forgotten. Moreover, the song you use to wake the Wind Fish and erase the island is the love song that she taught you.
The ghost revisiting his old home.
Everything sad about Link's Awakening is a BILLION times worse in the manga adaptation. Throughout the first half, Link is convinced that he's fighting monsters to bring peace to the island. When he finally discovers that waking the Wind Fish will end the island and the lives of everyone on it he's grown to care about, he's mortified. It's at this point we find out that both the fairy and the owl had been lying to Link the entire time, leading him on a quest for the exact opposite reason he wanted to go on it. He outright abandons the entire thing, deciding to leave the island with Marin, so she can fulfill her dream of seeing the world. However, when he tries to leave, he sails for days without getting any further away. He gives up and returns back to the island, and has a conversation with Marin where she discusses the island as a pleasant dream she wants to wake up from, to see other people around the world. She leaves and the owl appears, saying that she knows Link was sent to destroy her world and accepts it. This renews Link's hope in the quest and leaves him to do it all for Marin.
Not to mention Link's sheer despair over how Felicia and the Owl lied to him about his mission for so long.