The Great Deku Tree's demise certainly deserves a mention. Even after going into the tree and destroying Gohma, the tree still passes away, and what's worse is that the Great Deku Tree knew that he was destined to die anyway even before you set forth on your valiant efforts to save him, but possibly most unsettling about it is that something so meaningful to the Kokiris and massive even as an adult that was once green and alive slowly becomes and remains brown and dead. Plus, the sad and creepy music that plays as it happens...
Although as an adult, we get the Deku Tree Sprout, which will eventually grow to the original tree's size, it is still a bittersweet ending at best.
In that same scene, Link learns that he's actually an orphaned Hylian whose mother brought him to the Deku Tree when he was an infant. Imagine if you will, you go to the grave of the man you one saw as your father, then his son comes to you and says, "I'll now tell you your origins!! You're really of another race entirely, your parents are dead, and you have to go save the world from a great evil!" Link may look stoic, but internally, it must be a hurricane of emotions. Iron Woobie indeed.
Saria's goodbye to Link as you leave Kokiri Forest.
"He's not moving anymore..." Made even sadder by the fact that the vast majority of people will never know he was even in the game.
This. It's just its own comic in the Fanboys archive, so you're flipping through jokes about consoles and then WHAM.
When you talk to Mido as Adult Link in Ocarina of Time, after beating the Forest Temple.
Oh...I see... Saria won't ever come back... But... I... I made a promise to Saria... If Link came back, I would be sure to tell him that Saria had been waiting for him... Because Saria...really... liked... Hey, you. If you see him somewhere, please let him know... And also... I'm sorry for being mean to him. Tell him that, too.
Made even sadder by considering that Mido may still carry the guilt from being mean to him, due to never really getting to apologize to Link himself (even though he did, but Mido doesn't know that).
Another possible explanation: He does realize it's Mr. No-Fairy, but even with all his guilt, he pretends not to know for the sake of his pride.
Saria's sacrifice at the end of the temple. She agrees to give up living in Hyrule forever. To leave her friends, her home, the Lost Woods, everything she knows for something she knows next to nothing about. The other sages had to make this kind of sacrifice as well. The fact that they don't have to do so in the child timeline sweetens the deal, but it's still sad that they had to do it at all.
Your return to the Sacred Forest Meadow as an adult. Link slowly and mournfully strides up to Saria's sitting-stump and then stops right in front of it while the camera lingers on it for awhile.
Ingo's oppression. Winning Epona had never been quite so satisfying.
If you visit Lon Lon Ranch at night, you can find Malon in the barn singing Epona's song. She says that the only time it's safe to sing is at night, and if she tried to leave Ingo would hurt the horses.
Making it sadder is Ingo firing Talon and forcing him to leave the ranch, effectively separating him from his own daughter in the process.
Every single one of the conversation with the newly awakened sages. It's utterly heart-wrenching, seeing these people, accepting their new roles, but with the remorse of the cost that it has for them.
The official timeline has a branch in which Link fails at the end of the game. Think about that.
And it's a disgraceful failure, as well. In the backstory of Link to the Past, the Hero of Time obviously became nothing more than a statistic, mentioning only that "many of the Knights of Hyrule were lost..."
Thinking about any of them too hard is a real downer. No matter the outcome of the final battle, Ganondorf's immortality renders it a forgone conclusion. If Link falls, Ganondorf wins the Triforce and goes on to wreak utter havoc for several more years. If he wins, he gets returned to his youth... except that in the "adult" timeline he leaves behind Ganondorf returns and Hyrule is ultimately wiped off the map in an act of divine intervention. And in the child timeline - despite giving them fair warning of the danger - the sages still manage to mangle Ganondorf's execution, leading to two realms being placed in danger. And then there's Majora's Mask. Oh God, Majora's Mask. It's like a goddamn Greek tragedy.
Zora's Domain. Each other area reclaims pretty much all of its former glory, but not there. You beat the Water Temple and you're told Zora's Domain will recover... eventually. So the Gorons are saved, the Gerudo have had their evil leader tossed out, the Kokiri have the Deku Tree's protection back and Kakariko is now sans an eldritch horror, but Zora's Domain will remain a frozen wasteland for some time... that just seems rather sad, you know?
It does look like it's melted (or at least starting to melt) in the ending credits, which lessens the sadness somewhat, but it still seems rather unfair that the Zoras have to wait to get their happy ending. However... something that possibly makes the entire Zora race seem like woobies is the fact that, in Twilight Princess, Zora's Domain also gets frozen over, so it happens to them in both the child and adult timelines.
Fortunately in the Child timeline, the freezing is undone relatively quickly.
During the ending credits, we're treated to a scene of just about every character seen in the game partying at Lon Lon ranch. Everyone seems to be having fun, except for Mido and the Zora King who are sitting by the front gate looking sad. And then you remembered that both of them has had someone precious to them become a sage and leave them forever. Mido's longtime crush is gone for good, in spite of him trying to convince her not to, and the king lost his daughter and only child. Then they both look up to the sky, and which Sage lights appear in the sky first? Saria and Ruto.
Even sadder when you consider that due to circumstances, Link cannot attend the party due to returning to his normal timeline.
After you learn that Grog is basically dead now, you give Fado the medicine in exchange for his saw. In the following dialogue, Grog is referred to exclusively as a punk. And this is after he called you a good guy, a nice guy, the only guy who can help him.
This is even sadder if you've met him and his father as Kid Link During the day, the head carpenter says considers his son useless because all he does is sit and mope under his tree every night. During the night, Grog muses that people, including his own mother and father, are disgusting.
When you get to the Kokiri village after the timeskip, one of the Kokiri is hiding in Saria's house. She says that after the Deku Tree died and Link left, all of the Kokiri assumed Link killed the Tree, and Saria was the only one who defended him. Out of all the Kokiri, she was the only one who believed in him.
The imprisoned Gorons in the fire temple. All of them are curled up into balls and shivering, thinking that you're Volvagia and begging you not to eat them. You can't help but feel sympathy for the poor guys.
The manga puts Volvagia in a different light. Instead of being an evil dragon revived by Ganondorf, it was a long lost pet of Link who was possessed by Ganondorf. Despite Link's unwillingness to fight Volvagia and his attempts to talk it back to normal, he is forced to kill it to keep it from destroying Goron City. Only when Link has fatally sliced off its head does Volvagia finally remember him, letting out one last "Li...nk..." before disintegrating away.
This later comes back to haunt Link when the Desert of Illusions makes the disembodied head of Volvagia appear saying "It hurts, Link".
The entire ending, from the moment you lay the final blow on Ganon, to the sepia-tone "The End" screen. Just...the sheer amount of emotion it stirs up in you. The final good-bye from Zelda. The party at Lon Lon ranch. The final laying of the Master Sword. That gorgeous, absolutely gorgeous rendition of Zelda's Lullaby. And just seeing the world that you just saved recover from all the darkness it once hosted. Watching it, you're reaping the fruits of your labor, and it feels indescribable.